Estimating the fractionally integrated process in the presence of measurement errors

Authors
Chong, TTL Lui, GCS
Citation
Ttl. Chong et Gcs. Lui, Estimating the fractionally integrated process in the presence of measurement errors, ECON LETT, 63(3), 1999, pp. 285-294
Citations number
5
Categorie Soggetti
Economics
Journal title
ECONOMICS LETTERS
ISSN journal
01651765 → ACNP
Volume
63
Issue
3
Year of publication
1999
Pages
285 - 294
Database
ISI
SICI code
0165-1765(199906)63:3<285:ETFIPI>2.0.ZU;2-T
Abstract
This paper studies the asymptotic bias of the differencing parameter estima tor when data are measured with error. The estimator is established via the partial autocorrelation function. Factors that affect the direction of bia s of the estimator are found. (C) 1999 Elsevier Science S.A. All rights res erved.