Filtered least squares and measurement error

Andrew Blake ()
Authors registered in the RePEc Author Service: Martin Robert Weale ()

No 130, National Institute of Economic and Social Research (NIESR) Discussion Papers from National Institute of Economic and Social Research

Abstract: Li, Maddala, and Rush (1995) proposed a low-pass spectral filter method to estimate cointegrating vectors in small samples. This paper tests the effectiveness of the approach in the presence of measurement error. Two other methods, valid under the assumption of stationarity, are also tested.

Date: 1997-01
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Persistent link: https://EconPapers.repec.org/RePEc:nsr:niesrd:130

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