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Filtered least squares and measurement error

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  • Blake, Andrew P.
  • Camba-Mendez, Gonzalo

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  • Blake, Andrew P. & Camba-Mendez, Gonzalo, 1998. "Filtered least squares and measurement error," Economics Letters, Elsevier, vol. 59(2), pages 163-168, May.
    • Handle: RePEc:eee:ecolet:v:59:y:1998:i:2:p:163-168
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    References listed on IDEAS

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    1. Peter C. B. Phillips & Bruce E. Hansen, 1990. "Statistical Inference in Instrumental Variables Regression with I(1) Processes," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 57(1), pages 99-125.
    2. Zivot, Eric & Andrews, Donald W K, 2002. "Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 25-44, January.
    3. Li, Yikang & Maddala, G. S. & Rush, Mark, 1995. "New small sample estimators for cointegration regression: Low-pass spectral filter method," Economics Letters, Elsevier, vol. 47(2), pages 123-129, February.
    4. Perron, Pierre, 1989. "The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis," Econometrica, Econometric Society, vol. 57(6), pages 1361-1401, November.
    5. Fischer, Andreas M., 1990. "Cointegration and I(0) measurement error bias," Economics Letters, Elsevier, vol. 34(3), pages 255-259, November.
    6. Granger, Clive W J, 1986. "Developments in the Study of Cointegrated Economic Variables," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 48(3), pages 213-228, August.
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    Cited by:

    1. Fukuda, Kosei, 2005. "Unit-root detection allowing for measurement error," Statistics & Probability Letters, Elsevier, vol. 74(4), pages 373-377, October.

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