Journal Article

Measurement Error with Accounting Constraints: Point and Interval Estimation for Latent Data with an Application to U.K. Gross Domestic Product

Richard J. Smith, Martin R. Weale and Steven E. Satchell

in The Review of Economic Studies

Published on behalf of Review of Economic Studies Ltd

Volume 65, issue 1, pages 109-134
Published in print January 1998 | ISSN: 0034-6527
Published online January 1998 | e-ISSN: 1467-937X | DOI: http://dx.doi.org/10.1111/1467-937X.00037
Measurement Error with Accounting Constraints: Point and Interval Estimation for Latent Data with an Application to U.K. Gross Domestic Product

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An econometric methodology is proposed for reconciling inaccurate measures of latent data which are subject to accounting constraints. The method deals with the case in which the measurement errors are serially correlated, generalizing previous contributions. A class of efficient estimators are derived for the latent data. Consistent estimators for the weight matrices applied to the observed information based on a linear regression procedure are obtained together with confidence interval estimators for these weight matrices. Approximate confidence intervals are suggested for the latent data themselves together with specification tests for the assumptions underlying the procedure. An application of the proposed method is made to U.K. Gross Domestic Product in constant prices for 1958Q1–1989Q4.

Journal Article.  0 words. 

Subjects: Economics

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