A UNIFIED APPROACH TO THE MEASUREMENT ERROR PROBLEM IN TIME SERIES MODELS
Econometric Theory, 2002, vol. 18, issue 2, 278-296
The measurement error problem that we consider in this paper is concerned with the situation where time series data of various kindsâ€”short memory, long memory, and random walk processesâ€”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.
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