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Filtered Least Squares And Measurement Error

Filtered least squares and measurement error

Pub. Date

30 January, 1997

Pub. Type

Discussion Papers

Li, Maddala, and Rush (1995) proposed a low-pass spectral filter method to estimate cointegrating vectors in small samples. This paper tests the effectiveness of the approach in the presence of measurement error. Two other methods, valid under the assumption of stationarity, are also tested.