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Article: Estimating the fractionally integrated process in the presence of measurement errors

TitleEstimating the fractionally integrated process in the presence of measurement errors
Authors
KeywordsDifferencing Parameter
Fractionally Integrated Model
Measurement Error
Issue Date1999
PublisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/ecolet
Citation
Economics Letters, 1999, v. 63 n. 3, p. 285-294 How to Cite?
AbstractThis 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. © 1999 Elsevier Science S.A. All rights reserved.
Persistent Identifierhttp://hdl.handle.net/10722/172382
ISSN
2015 Impact Factor: 0.603
2015 SCImago Journal Rankings: 0.612
References

 

DC FieldValueLanguage
dc.contributor.authorChong, TTLen_US
dc.contributor.authorLui, GCSen_US
dc.date.accessioned2012-10-30T06:22:14Z-
dc.date.available2012-10-30T06:22:14Z-
dc.date.issued1999en_US
dc.identifier.citationEconomics Letters, 1999, v. 63 n. 3, p. 285-294en_US
dc.identifier.issn0165-1765en_US
dc.identifier.urihttp://hdl.handle.net/10722/172382-
dc.description.abstractThis 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. © 1999 Elsevier Science S.A. All rights reserved.en_US
dc.languageengen_US
dc.publisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/ecoleten_US
dc.relation.ispartofEconomics Lettersen_US
dc.subjectDifferencing Parameteren_US
dc.subjectFractionally Integrated Modelen_US
dc.subjectMeasurement Erroren_US
dc.titleEstimating the fractionally integrated process in the presence of measurement errorsen_US
dc.typeArticleen_US
dc.identifier.emailLui, GCS: csglui@hku.hken_US
dc.identifier.authorityLui, GCS=rp00755en_US
dc.description.naturelink_to_subscribed_fulltexten_US
dc.identifier.scopuseid_2-s2.0-0033245299en_US
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-0033245299&selection=ref&src=s&origin=recordpageen_US
dc.identifier.volume63en_US
dc.identifier.issue3en_US
dc.identifier.spage285en_US
dc.identifier.epage294en_US
dc.publisher.placeNetherlandsen_US
dc.identifier.scopusauthoridChong, TTL=7102932432en_US
dc.identifier.scopusauthoridLui, GCS=8613288600en_US

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