Estimating the fractionally integrated process in the presence of measurement errors

DOI10.1016/S0165-1765(99)00041-5MaRDI QIDQ1292338zbMATH OpenOpenAlexFDO

Authors Gilbert Chiu-sing Lui, Terence T. L. Chong

Publication date 21 June 1999

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0165-1765(99)00041-5

zbMATH Keywords

measurement errorfractionally integrated modeldifferencing parameter

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82) Economic time series analysis (91B84)

Recommendations

• The bias of lag window estimators of the fractional difference parameter.
• ESTIMATION OF THE MEMORY PARAMETER FOR NONSTATIONARY OR NONINVERTIBLE FRACTIONALLY INTEGRATED PROCESSES
• Issues in the estimation of mis-specified models of fractionally integrated processes
• Estimation of fractional integration in the presence of data noise

Cites work

• scientific article; zbMATH DE number 4102349 (Why is no real title available?)
• scientific article; zbMATH DE number 1133212 (Why is no real title available?)
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• Errors in the Variables Bias in the Presence of Correctly Measured Variables
• Long memory processes and fractional integration in econometrics
• Vector attenuation bias in the classical errors-in-variables model

Cited in

(10)

• Estimating the persistence and the autocorrelation function of a time series that is measured with error
• Estimation of fractional integration in the presence of data noise
• Issues in the estimation of mis-specified models of fractionally integrated processes
• The bias of lag window estimators of the fractional difference parameter.
• Time series properties of aggregated AR(2) processes
• Estimation of a level shift in panel data with fractionally integrated errors
• The polynomial aggregated AR(1) model*
• Evaluating the efficiency of fractional integration parameter estimators
• Estimating multiple breaks in mean sequentially with fractionally integrated errors
• Bias Correction of Persistence Measures in Fractionally Integrated Models

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