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Dynamic Econometrics$
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David F. Hendry

Print publication date: 1995

Print ISBN-13: 9780198283164

Published to Oxford Scholarship Online: November 2003

DOI: 10.1093/0198283164.001.0001

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Measurement Problems in Econometrics

Measurement Problems in Econometrics

Chapter:
(p.442) 12 Measurement Problems in Econometrics
Source:
Dynamic Econometrics
Author(s):

David F. Hendry (Contributor Webpage)

Publisher:
Oxford University Press
DOI:10.1093/0198283164.003.0012

Methods for estimating parameters in errors‐in‐variables models are investigated, and an estimator generating equation is derived, with weighted least squares and instrumental variables as solutions. A Monte Carlo simulation technique for evaluating likelihood functions of dynamic latent‐variables models, based on artificial factorizations of the sequential joint density of the observables and latent variables is described, and applied to a dynamic min‐condition model. The effects of measurement errors and data revisions in integrated processes and equilibrium‐correction models are investigated.

Keywords:   data revisions, dynamic latent variables, equilibrium‐correction models, errors‐in‐variables models, instrumental variables, integrated processes, min‐condition model, Monte Carlo estimation, weighted least squares

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