Estimation of Autoregressive Model in the Presence of Measurement Errors

Venus, Khim-Sen Liew and Terence, Tai-Leung Chong and Adam, Chi Leung Wong (2006) Estimation of Autoregressive Model in the Presence of Measurement Errors. Economics Bulletin, 3 (4). pp. 1-10. ISSN 1545-2921

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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: autoregressive models, measurement errors, model parameters, model parameters, unimas, university, universiti, Borneo, Malaysia, Sarawak, Kuching, Samarahan, ipta, education, research, Universiti Malaysia Sarawak.
Subjects: H Social Sciences > HG Finance
Divisions: Academic Faculties, Institutes and Centres > Faculty of Economics and Business
Faculties, Institutes, Centres > Faculty of Economics and Business
Depositing User: Gani
Date Deposited: 06 May 2020 03:02
Last Modified: 01 Jun 2021 12:44

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