Journal article
The impact of integrated measurement errors on modelling long-run macroeconomic time series
- Abstract:
- Data spanning long time periods, such as that over 1860–2012 for the UK, seem likely to have substantial errors of measurement that may even be integrated of order one, but which are probably cointegrated for cognate variables. We analyze and simulate the impacts of such measurement errors on parameter estimates and tests in a bivariate cointegrated system with trends and location shifts which reflect the many major turbulent events that have occurred historically. When trends or shifts therein are large, cointegration analysis is not much affected by such measurement errors, leading to conventional stationary attenuation biases dependent on the measurement-error variance, unlike the outcome when there are no offsetting shifts or trends.
- Publication status:
- Published
- Peer review status:
- Peer reviewed
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- Files:
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(Preview, Accepted manuscript, pdf, 343.7KB, Terms of use)
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- Publisher copy:
- 10.1080/07474938.2017.1307177
Authors
- Publisher:
- Taylor and Francis
- Journal:
- Econometric Reviews More from this journal
- Volume:
- 36
- Issue:
- 6-9
- Pages:
- 568-587
- Publication date:
- 2017-03-27
- Acceptance date:
- 2017-01-16
- DOI:
- EISSN:
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1532-4168
- ISSN:
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0747-4938
- Keywords:
- Pubs id:
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pubs:671395
- UUID:
-
uuid:af0e6226-da5c-4233-a9be-c68df57fd660
- Local pid:
-
pubs:671395
- Source identifiers:
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671395
- Deposit date:
-
2017-01-17
- ARK identifier:
Terms of use
- Copyright holder:
- ©2017 Taylor & Francis Group, LLC
- Copyright date:
- 2017
- Notes:
- This is the author accepted manuscript following peer review version of the article. The final version is available online from Taylor and Francis at: 10.1080/07474938.2017.1307177
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