Errors-in-Variables and the Wavelet Multiresolution Approximation Approach: A Monte Carlo Study

Marco Gallegati and James B. Ramsey

A chapter in Essays in Honor of Jerry Hausman, 2012, pp 149-171 from Emerald Group Publishing Limited

Abstract: In this chapter we perform a Monte Carlo simulation study of the errors-in-variables model examined in Ramsey, Gallegati, Gallegati, and Semmler (2010) by using a wavelet multiresolution approximation approach. Differently from previous studies applying wavelets to errors-in-variables problem, we use a sequence of multiresolution approximations of the variable measured with error ranging from finer to coarser scales. Our results indicate that multiscale approximations to the variable observed with error based on the coarser scales provide an unbiased asymptotically efficient estimator that also possess good finite sample properties.

Keywords: Wavelets; IVs; errors-in-variables; Monte Carlo simulations (search for similar items in EconPapers)
Date: 2012
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Persistent link: https://EconPapers.repec.org/RePEc:eme:aecozz:s0731-9053(2012)0000029011

DOI: 10.1108/S0731-9053(2012)0000029011

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