Filtered least squares and measurement error

Andrew P. Blake and () and Gonzalo Camba-Mendez ()
Authors registered in the RePEc Author Service: Andrew Peter Blake ()

NIESR Discussion Papers from National Institute of Economic and Social Research

Abstract: Li, Maddala, and Rush (1995) proposed a low-pass spectral filter method to estimate cointegrating vectors in small samples. This paper tests the effectiveness of the approach in the presence of measurement error. Two other methods, valid under the assumption of stationarity, are also tested.

Date: 1998-01

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Related works:
Journal Article: Filtered least squares and measurement error (1998)
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Persistent link: http://EconPapers.repec.org/RePEc:nsr:niesrd:130

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