Estimating the fractionally integrated process in the presence of measurement errors
Publication in refereed journal


香港中文大学研究人员 ( 现职)

庄太量教授 (经济学系)

全文

数位物件识别号 (DOI) http://dx.doi.org/10.1016/S0165-1765(99)00041-5

引用次数
Web of Sciencehttp://aims.cuhk.edu.hk/converis/portal/Publication/3WOS source URL

其它资讯

摘要This 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. (C) 1999 Elsevier Science S.A. All rights reserved.

着者Chong TTL, Lui GCS
期刊名称Economics Letters
出版年份1999
月份6
日期1
卷号6http://aims.cuhk.edu.hk/converis/portal/Publication/3
期次http://aims.cuhk.edu.hk/converis/portal/Publication/3
出版社ELSEVIER SCIENCE SA
页次285 - 294
国际标準期刊号0165-1765
电子国际标準期刊号187http://aims.cuhk.edu.hk/converis/portal/Publication/3-7http://aims.cuhk.edu.hk/converis/portal/Publication/374
语言英式英语

关键词differencing parameter; fractionally integrated model; measurement error
Web of Science 学科类别Business & Economics; Economics; ECONOMICS