Estimation of the Autoregressive Order in the Presence of Measurement Errors

Estimation of the Autoregressive Order in the Presence of Measurement Errors

Most of the existing autoregressive models presume that the observations are perfectly measured. In empirical studies, the variable of interest is unavoidably measured with various kinds of errors. Thus, misleading conclusions may be yielded due to the inconsistency of the parameter estimates caused...

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Bibliographic Details
Main Authors: Terence, Tai-Leung Chong, Venus, Liew, Yuanxiu, Zhang, Chi-Leung, Wong
Format: Article
Language:English
Published: Economics Bulletin 2006
Subjects:
AC Collections. Series. Collected works
HB Economic Theory
Online Access:http://ir.unimas.my/id/eprint/70/
http://ir.unimas.my/id/eprint/70/1/Estimation%20of%20the%20Autoregressive%20Order%20in%20the%20Presence%20of%20Measurement%20Errors%20%28abstract%29.pdf

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