Measurement Error with Accounting Constraints: Point and Interval Estimation for Latent Data with an Application to U.K. Gross Domestic Product

Richard J. Smith, Martin Weale () and Steven E. Satchell

The Review of Economic Studies, 1998, vol. 65, issue 1, 109-134

Abstract: An econometric methodology is proposed for reconciling inaccurate measures of latent data which are subject to accounting constraints. The method deals with the case in which the measurement errors are serially correlated, generalizing previous contributions. A class of efficient estimators are derived for the latent data. Consistent estimators for the weight matrices applied to the observed information based on a linear regression procedure are obtained together with confidence interval estimators for these weight matrices. Approximate confidence intervals are suggested for the latent data themselves together with specification tests for the assumptions underlying the procedure. An application of the proposed method is made to U.K. Gross Domestic Product in constant prices for 1958Q1–1989Q4.

Date: 1998
References: Add references at CitEc
Citations: View citations in EconPapers (18)

Downloads: (external link)
http://hdl.handle.net/10.1111/1467-937X.00037 (application/pdf)
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:oup:restud:v:65:y:1998:i:1:p:109-134.

Access Statistics for this article

The Review of Economic Studies is currently edited by Thomas Chaney, Xavier d’Haultfoeuille, Andrea Galeotti, Bård Harstad, Nir Jaimovich, Katrine Loken, Elias Papaioannou, Vincent Sterk and Noam Yuchtman

More articles in The Review of Economic Studies from Review of Economic Studies Ltd
Bibliographic data for series maintained by Oxford University Press ().