MEASUREMENT ERRORS IN DYNAMIC MODELS

DOI10.1017/S0266466613000157zbMath1291.62130OpenAlexW2137419138MaRDI QIDQ4979937

Ivana Komunjer, Serena Ng

Publication date: 20 June 2014

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466613000157

zbMATH Keywords

System identificationMeasurement errorsDynamic linear systemPanel data modelVector autoregressive model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05) Economic time series analysis (91B84)

Related Items (4)

Unnamed Item ⋮ Simulated minimum distance estimation of dynamic models with errors-in-variables ⋮ EIV regression with bounded errors in data: total `least squares' with Chebyshev norm ⋮ Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions

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• Errors-in-variables methods in system identification
• GMM estimation in panel data models with measurement error

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