Title of article
Filtered least squares and measurement error
Author/Authors
Andrew P. Blake، نويسنده , , Gonzalo Camba-Mendez، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 1998
Pages
6
From page
163
To page
168
Abstract
Li, Maddala, and Rush proposed a low-pass spectral filter method to estimate cointegrating vectors in small samples. We test its effectiveness in the presence of measurement error. Two other methods, valid under the assumption of stationarity, are also tested
Keywords
Cointegrating vector: Filtering: Measurement error
Journal title
Economics Letters
Serial Year
1998
Journal title
Economics Letters
Record number
434543
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