Cointegration analysis under measurement errors
Measurement Error: Consequences, Applications and Solutions
ISBN: 978-1-84855-902-8, eISBN: 978-1-84855-903-5
Publication date: 2 November 2009
Abstract
We study the effect of errors-in-variables [EV] on cointegration tests and cointegrating regressions. It turns out that the rate of convergence of static ordinary least squares [OLS] estimators is not affected by EV, whereas the limiting distribution does change. However, procedures accounting for short-run dynamics correct for EV at the same time and hence are robust to measurement errors. This is established asymptotically, and the relevance of our findings for finite samples is confirmed through computer experiments. Although our analysis is restricted to selected procedures, we indicate how our results will extend to related statistical techniques.
Citation
Hassler, U. and Kuzin, V. (2009), "Cointegration analysis under measurement errors", Binner, J.M., Edgerton, D.L. and Elger, T. (Ed.) Measurement Error: Consequences, Applications and Solutions (Advances in Econometrics, Vol. 24), Emerald Group Publishing Limited, Leeds, pp. 131-150. https://doi.org/10.1108/S0731-9053(2009)0000024009
Publisher
:Emerald Group Publishing Limited
Copyright © 2009, Emerald Group Publishing Limited