EconPapers    
Economics at your fingertips  
 

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
References: Add references at CitEc
Citations: View citations in EconPapers (6) Track citations by RSS feed

Downloads: (external link)
https://www.cambridge.org/core/product/identifier/ ... type/journal_article link to article abstract page (text/html)

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:cup:etheor:v:18:y:2002:i:02:p:278-296_18

Access Statistics for this article

More articles in Econometric Theory from Cambridge University Press Cambridge University Press, UPH, Shaftesbury Road, Cambridge CB2 8BS UK.
Bibliographic data for series maintained by Keith Waters ().

 
Page updated 2020-02-21
Handle: RePEc:cup:etheor:v:18:y:2002:i:02:p:278-296_18