Cointegration analysis under measurement errors

Uwe Hassler and Vladimir Kuzin

A chapter in Measurement Error: Consequences, Applications and Solutions, 2009, pp 131-150 from Emerald Group Publishing Limited

Abstract: We study the effect of errors-in-variables [EV] on cointegration tests and cointegrating regressions. It turns out that the rate of convergence of static ordinary least squares [OLS] estimators is not affected by EV, whereas the limiting distribution does change. However, procedures accounting for short-run dynamics correct for EV at the same time and hence are robust to measurement errors. This is established asymptotically, and the relevance of our findings for finite samples is confirmed through computer experiments. Although our analysis is restricted to selected procedures, we indicate how our results will extend to related statistical techniques.

Date: 2009
References: Add references at CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
https://www.emerald.com/insight/content/doi/10.110 ... d&utm_campaign=repec (text/html)
https://www.emerald.com/insight/content/doi/10.110 ... d&utm_campaign=repec (application/pdf)
https://www.emerald.com/insight/content/doi/10.110 ... 9053(2009)0000024009
Access to full text is restricted to subscribers

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eme:aecozz:s0731-9053(2009)0000024009

DOI: 10.1108/S0731-9053(2009)0000024009

Access Statistics for this chapter

More chapters in Advances in Econometrics from Emerald Group Publishing Limited
Bibliographic data for series maintained by Emerald Support ().