Chapter

Measurement Problems in Econometrics

David F. Hendry

in Dynamic Econometrics

Published in print February 1995 | ISBN: 9780198283164
Published online November 2003 | e-ISBN: 9780191596384 | DOI: http://dx.doi.org/10.1093/0198283164.003.0012

Series: Advanced Texts in Econometrics

 Measurement Problems in Econometrics

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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

Chapter.  14426 words.  Illustrated.

Subjects: Econometrics and Mathematical Economics

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