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A UNIFIED APPROACH TO THE MEASUREMENT ERROR PROBLEM IN TIME SERIES MODELS

Published online by Cambridge University Press:  16 May 2002

Katsuto Tanaka
Katsuto Tanaka
Affiliation:
Hitotsubashi University
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Abstract

The measurement error problem that we consider in this paper is concerned with the situation where time series data of various kinds—short memory, long memory, and random walk processes—are contaminated by white noise. We suggest a unified approach to testing for the existence of such noise. It is found that the power of our test crucially depends on the underlying process.

Type
Research Article
Information
Econometric Theory , Volume 18 , Issue 2 , April 2002 , pp. 278 - 296
Copyright
© 2002 Cambridge University Press

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