Cointegration analysis under measurement errors

DOI10.1108/S0731-9053(2009)0000024009zbMATH Open1189.91161OpenAlexW2139285514MaRDI QIDQ3573015FDOQ3573015

Authors: Vladimir Kuzin, Uwe Hassler 

Publication date: 30 June 2010

Published in: Advances in Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1108/s0731-9053(2009)0000024009

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Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Economic time series analysis (91B84)

Cited In (6)

• Cross-Sectionally Correlated Measurement Errors in Two-Pass Regression Tests of Asset-Pricing Models
• The Co-Integrated Vector Autoregression with Errors–in–Variables
• Analysis of cointegrated models with measurement errors
• Multicointegration under measurement errors
• DETECTION OF FUNCTIONAL FORM MISSPECIFICATION IN COINTEGRATING RELATIONS
• Measurement error in multiple equations: Tobin's \(q\) and corporate investment, saving, and debt

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