A UNIFIED APPROACH TO THE MEASUREMENT ERROR PROBLEM IN TIME SERIES MODELS

Katsuto Tanaka

Econometric Theory, 2002, vol. 18, issue 2, 278-296

Abstract: The measurement error problem that we consider in this paper is concerned with the situation where time series data of various kinds—short memory, long memory, and random walk processes—are contaminated by white noise. We suggest a unified approach to testing for the existence of such noise. It is found that the power of our test crucially depends on the underlying process.

Date: 2002
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