MEASUREMENT ERROR WITH ACCOUNTING CONSTRAINTS - POINT AND INTERVAL ESTIMATION FOR LATENT DATA WITH AN APPLICATION TO UK GROSS DOMESTIC PRODUCT

An econometric methodology is proposed for reconciling inaccurate meas ures of latent data which are subject to accounting constraints. The m ethod deals with the case in which the measurement errors are serially correlated, generalizing previous contributions. A class of efficient estimators are derived for the latent data. Consistent estimators for the weight matrices applied to the observed information based on a li near regression procedure are obtained together with confidence interv al estimators for these weight matrices. Approximate confidence interv als are suggested for the latent data themselves together with specifi cation tests for the assumptions underlying the procedure. An applicat ion of the proposed method is made to U.K. Gross Domestic Product in c onstant prices for 1958Q1-1989Q4.