Estimating the fractionally integrated process in the presence of measurement errors

被引：4
|
作者：
Chong, TTL [1 ]
Lui, GCS [1 ]
机构：
[1] Chinese Univ Hong Kong, Dept Econ, Shatin, Peoples R China
来源：
ECONOMICS LETTERS | 1999年 / 63卷 / 03期
关键词：
differencing parameter; fractionally integrated model; measurement error;
D O I：
10.1016/S0165-1765(99)00041-5
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This paper studies the asymptotic bias of the differencing parameter estimator when data are measured with error. The estimator is established via the partial autocorrelation function. Factors that affect the direction of bias of the estimator are found. (C) 1999 Elsevier Science S.A. All rights reserved.
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页码：285 / 294
页数：10
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