The impact of integrated measurement errors on modelling long-run macroeconomic time series
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 error...
| Үндсэн зохиолчид: | , |
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| Формат: | Working paper |
| Хэвлэсэн: |
University of Oxford
2017
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| _version_ | 1826281434761920512 |
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| author | Duffy, J Hendry, D |
| author_facet | Duffy, J Hendry, D |
| author_sort | Duffy, J |
| collection | OXFORD |
| description | 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. |
| first_indexed | 2024-03-07T00:28:45Z |
| format | Working paper |
| id | oxford-uuid:7f0b598c-c05f-431c-9585-14c68cc31bc7 |
| institution | University of Oxford |
| last_indexed | 2024-03-07T00:28:45Z |
| publishDate | 2017 |
| publisher | University of Oxford |
| record_format | dspace |
| spelling | oxford-uuid:7f0b598c-c05f-431c-9585-14c68cc31bc72022-03-26T21:14:18ZThe impact of integrated measurement errors on modelling long-run macroeconomic time seriesWorking paperhttp://purl.org/coar/resource_type/c_8042uuid:7f0b598c-c05f-431c-9585-14c68cc31bc7Symplectic ElementsBulk import via SwordUniversity of Oxford2017Duffy, JHendry, DData 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. |
| spellingShingle | Duffy, J Hendry, D The impact of integrated measurement errors on modelling long-run macroeconomic time series |
| title | The impact of integrated measurement errors on modelling long-run macroeconomic time series |
| title_full | The impact of integrated measurement errors on modelling long-run macroeconomic time series |
| title_fullStr | The impact of integrated measurement errors on modelling long-run macroeconomic time series |
| title_full_unstemmed | The impact of integrated measurement errors on modelling long-run macroeconomic time series |
| title_short | The impact of integrated measurement errors on modelling long-run macroeconomic time series |
| title_sort | impact of integrated measurement errors on modelling long run macroeconomic time series |
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