A unified approach to the measurement error problem in time series models

Econometric Theory

Volumn 18, Issue 2, 2002, Pages 278-296

  Tanaka, Katsuto ^a  

^a HITOTSUBASHI UNIVERSITY   (Japan)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0036004246     PISSN: 02664666     EISSN: None     Source Type: Journal    
DOI: 10.1017/S026646660218203X     Document Type: Article

References (9)

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2. Box, G.E.P. & D.A. Pierce (1970) Distribution of residual autocorrelations in autoregressive-integrated movig average time series models. Journal of the American Statistical Association 65, 1509-1526.
3. Giraitis, L. & D. Surgailis (1990) A central limit theorem for quadratic forms in strongly dependent linear variables and its application to asymptotical normality of Whittle's estimate. Probability Theory and Related Fields 86, 87-104.
4. Hosking, J.R.M. (1981) Fractional differencing. Biometrika 68, 165-176.
5. Li, W.K. & A.I. McLeod (1986) Fractional time series modelling. Biometrika 73, 217-221.
6. McLeod, A.I. (1978) On the distribution of residual autocorrelations in Box-Jenkins models. Journal of the Royal Statistical Society (B) 40, 296-302.
7. Tanaka, K. (1983) The one-sided Lagrange multiplier test of the AR(p) model vs the AR(p) model with measurement error. Journal of the Royal Statistical Society, Series B 45, 77-80.
8. Tanaka, K. (1996) Time Series Analysis: Nonstationary and Noninvertible Distribution Theory. New York: Wiley.
9. Tanaka, K. (1999) The nonstationary fractional unit root. Econometric Theory 15, 549-582.