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 errors on parame...
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| Format: | Journal article |
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Taylor and Francis
2017
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The impact of integrated measurement errors on modelling long-run macroeconomic time series
Published 2017
Working paper