Estimation of the Autoregressive Order in the Presence of Measurement Errors

• Main Authors: Terence, Tai-Leung Chong, Venus, Liew, Yuanxiu, Zhang, Chi-Leung, Wong
• Format: E-Article
• Language: English
• Published: Economics Bulletin 2006
• Subjects: AC Collections. Series. Collected works; HB Economic Theory
• Online Access: http://ir.unimas.my/id/eprint/70/1/Estimation%20of%20the%20Autoregressive%20Order%20in%20the%20Presence%20of%20Measurement%20Errors%20%28abstract%29.pdf; http://ir.unimas.my/id/eprint/70/

Most of the existing autoregressive models presume that the observations are perfectly measured. In empirical studies, the variable of interest is unavoidably measured with various kinds of errors. Thus, misleading conclusions may be yielded due to the inconsistency of the parameter estimates caused...