Estimation of the Autoregressive Order in the Presence of Measurement Errors

Terence, Tai-Leung Chong and Venus, Liew and Yuanxiu, Zhang and Chi-Leung, Wong (2006) Estimation of the Autoregressive Order in the Presence of Measurement Errors. Economics Bulletin, 3 (12). pp. 1-10.

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Abstract

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 by the measurement errors. Thus far, no theoretical result on the direction of bias of the lag order estimate is available in the literature. In this note, we will discuss the estimation an AR model in the presence of measurement errors. It is shown that the inclusion of measurement errors will drastically increase the complexity of the problem. We show that the lag lengths selected by the AIC and BIC are increasing with the sample size at a logarithmic rate.

Item Type: Article
Uncontrolled Keywords: UNIMAS, Autoregressive, Empirical studies, Universiti Malaysia Sarawak , unimas, university, universiti, Borneo, Malaysia, Sarawak, Kuching, Samarahan, ipta, education , research.
Subjects: A General Works > AC Collections. Series. Collected works
A General Works > AC Collections. Series. Collected works

H Social Sciences > HB Economic Theory
Divisions: Academic Faculties, Institutes and Centres > Faculty of Economics and Business
Depositing User: Karen Kornalius
Date Deposited: 05 Dec 2013 02:32
Last Modified: 28 Dec 2016 02:17
URI: http://ir.unimas.my/id/eprint/70

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