The impact of integrated measurement errors on modelling long-run macroeconomic time series

The impact of integrated measurement errors on modelling long-run macroeconomic time series

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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...

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Manylion Llyfryddiaeth
Prif Awduron:	Duffy, J, Hendry, D
Fformat:	Working paper
Cyhoeddwyd:	University of Oxford 2017

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