Serially Correlated Measurement Errors in Time Series Regression: The Potential of Instrumental Variable Estimators
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Nowak, Eugen, 1993. "The identification of multivariate linear dynamic errors-in-variables models," Journal of Econometrics, Elsevier, vol. 59(3), pages 213-227, October.
- Staudenmayer, John & Buonaccorsi, John P., 2005. "Measurement Error in Linear Autoregressive Models," Journal of the American Statistical Association, American Statistical Association, vol. 100, pages 841-852, September.
- Grether, D M & Maddala, G S, 1973.
"Errors in Variables and Serially Correlated Disturbances in Distributed Lag Models,"
Econometrica, Econometric Society, vol. 41(2), pages 255-262, March.
- Grether, David M. & Maddala, G. S., "undated". "Errors in Variables and Serially Correlated Disturbances in Distributed Lag Models," Working Papers 6, California Institute of Technology, Division of the Humanities and Social Sciences.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Biørn, Erik, 2012. "The Measurement Error Problem in Dynamic Panel Data Analysis: Modeling and GMM Estimation," Memorandum 02/2012, Oslo University, Department of Economics.
- Erik Biørn, 2015. "Panel data dynamics with mis-measured variables: modeling and GMM estimation," Empirical Economics, Springer, vol. 48(2), pages 517-535, March.
- Biørn, Erik & Han, Xuehui, 2012. "Panel Data Dynamics and Measurement Errors: GMM Bias, IV Validity and Model Fit – A Monte Carlo Study," Memorandum 27/2012, Oslo University, Department of Economics.
- Brajendra C. Sutradhar & R. Prabhakar Rao, 2016. "Inferences in Longitudinal Count Data Models with Measurement Errors in Time Dependent Covariates," Sankhya B: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 78(1), pages 39-65, May.
- Bollerslev, Tim & Patton, Andrew J. & Quaedvlieg, Rogier, 2018.
"Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions,"
Journal of Econometrics, Elsevier, vol. 207(1), pages 71-91.
- Tim Bollerslev & Andrew J. Patton & Rogier Quaedvlieg, 2016. "Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions," CREATES Research Papers 2016-10, Department of Economics and Business Economics, Aarhus University.
- Solbu, Erik Blystad & Engen, Steinar & Diserud, Ola Håvard, 2015. "Guidelines when estimating temporal changes in density dependent populations," Ecological Modelling, Elsevier, vol. 313(C), pages 355-376.
- Cheng Hsiao, 1977. "Money And Income, Causality Detection," NBER Working Papers 0167, National Bureau of Economic Research, Inc.
- Daniel Kaufmann, 2016. "Is Deflation Costly After All? Evidence from Noisy Historical Data," KOF Working papers 16-421, KOF Swiss Economic Institute, ETH Zurich.
- Dagenais, Marcel G. & Dagenais, Denyse L., 1997. "Higher moment estimators for linear regression models with errors in the variables," Journal of Econometrics, Elsevier, vol. 76(1-2), pages 193-221.
- Jean-Louis ARCAND & Béatrice D'HOMBRES, 2002.
"Explaining the Negative Coefficient Associated with Human Capital in Augmented Solow Growth Regressions,"
Working Papers
200227, CERDI.
- Arcand Jean-Louis & Béatrice d'Hombres, 2005. "Explaining the Negative Coefficient Associated with Human Capital in Augmented Solow Growth Regressions," Macroeconomics 0510010, University Library of Munich, Germany.
- Philip Hans Franses, 2020. "Measurement Error in a First-order Autoregression," Advances in Decision Sciences, Asia University, Taiwan, vol. 24(2), pages 1-14, June.
- Geng, Pei, 2022. "Estimation of functional-coefficient autoregressive models with measurement error," Journal of Multivariate Analysis, Elsevier, vol. 192(C).
- Gerd Ronning, 2009. "Stochastische Überlagerung mit Hilfe der Mischungsverteilung," IAW Discussion Papers 48, Institut für Angewandte Wirtschaftsforschung (IAW).
- Florian Peters & Simas Kucinskas, 2018. "Measuring Biases in Expectation Formation," Tinbergen Institute Discussion Papers 18-058/IV, Tinbergen Institute.
- Daniel Kaufmann, 2020.
"Is deflation costly after all? The perils of erroneous historical classifications,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(5), pages 614-628, August.
- Daniel Kaufmann, 2017. "Is Deflation Costly After All? The Perils of Erroneous Historical Classifications," IRENE Working Papers 17-09, IRENE Institute of Economic Research.
- Gospodinov, Nikolay & Komunjer, Ivana & Ng, Serena, 2017. "Simulated minimum distance estimation of dynamic models with errors-in-variables," Journal of Econometrics, Elsevier, vol. 200(2), pages 181-193.
- Jingxuan Luo & Lili Yue & Gaorong Li, 2023. "Overview of High-Dimensional Measurement Error Regression Models," Mathematics, MDPI, vol. 11(14), pages 1-22, July.
- Hans Schneeweiss & Thomas Augustin, 2006. "Some recent advances in measurement error models and methods," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 90(1), pages 183-197, March.
- Bollerslev, Tim & Patton, Andrew J. & Quaedvlieg, Rogier, 2016.
"Exploiting the errors: A simple approach for improved volatility forecasting,"
Journal of Econometrics, Elsevier, vol. 192(1), pages 1-18.
- Tim Bollerslev & Andrew J. Patton & Rogier Quaedvlieg, 2015. "Exploiting the Errors: A Simple Approach for Improved Volatility Forecasting," CREATES Research Papers 2015-14, Department of Economics and Business Economics, Aarhus University.
- Denyse L. Dagenais & Marcel Dagenais, 1995. "Higher Moment Estimators for Linear Regression Models With Errors in the Variables," CIRANO Working Papers 95s-13, CIRANO.
More about this item
Keywords
Errors in variables; ARMA; Error memory; Simultaneity bias; Attenuation; Monte Carlo;All these keywords.
JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C26 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Instrumental Variables (IV) Estimation
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C36 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Instrumental Variables (IV) Estimation
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2015-02-28 (Econometrics)
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:hhs:osloec:2014_028. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Mari Strønstad Øverås (email available below). General contact details of provider: https://edirc.repec.org/data/souiono.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.