Arbeitspapier
Serially correlated measurement errors in time series regression: The potential of instrumental variable estimators
The measurement error problem in linear time series regression, with focus on the impact of error memory, modeled as nite-order MA processes, is considered. Three prototype models, two bivariate and one univariate ARMA, and ways of handling the problem by using instrumental variables (IVs) are discussed as examples. One has a bivariate regression equation that is static, although with dynamics, entering via the memory of its latent variables. The examples illustrate how 'structural dynamics' interacting with measurement error memory create bias in Ordinary Least Squares (OLS) and illustrate the potential of IV estimation procedures. Supplementary Monte Carlo simulations are provided for two of the example models.
- Sprache
-
Englisch
- Erschienen in
-
Series: Memorandum ; No. 28/2014
- Klassifikation
-
Wirtschaft
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Single Equation Models: Single Variables: Instrumental Variables (IV) Estimation
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Multiple or Simultaneous Equation Models: Instrumental Variables (IV) Estimation
Model Evaluation, Validation, and Selection
Forecasting Models; Simulation Methods
- Thema
-
Errors in variables
ARMA
Error memory
Simultaneity bias
Attenuation
Monte Carlo
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Biørn, Erik
- Ereignis
-
Veröffentlichung
- (wer)
-
University of Oslo, Department of Economics
- (wo)
-
Oslo
- (wann)
-
2014
- Handle
- Letzte Aktualisierung
-
20.09.2024, 08:24 MESZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Biørn, Erik
- University of Oslo, Department of Economics
Entstanden
- 2014
Ähnliche Objekte (12)
Panel data with measurement errors: Instrumental variables and GMM procedures combining levels and differences
Panel data estimators and aggregation
The efficiency of panel data estimators: GLS versus estimators which do not depend on variance components
Constructing Panel Data Estimators by Aggregation: A General Moment Estimator and a Suggested Synthesis
How is generalized least squares related to within and between estimators in unbalanced panel data?
Age-cohort-time effects in sickness absence: Exploring a large data set by polynomial regression
Random coefficients in regression equation systems: The case with unbalanced panel data
Revisiting, from a Frischian point of view, the relationship between elasticities of intratemporal and intertemporal substitution
Depreciation Profiles and the User Cost of Capital
Identifying age-cohort-time effects, their curvature and interactions from polynomials: Examples related to sickness absence
Identification and method of moments estimation in polynomial measurement error models
Identifying trend and age effects in sickness absence from individual data: Some econometric problems
Panel data with measurement errors: Instrumental variables and GMM procedures combining levels and differences
Panel data estimators and aggregation
The efficiency of panel data estimators: GLS versus estimators which do not depend on variance components
Constructing Panel Data Estimators by Aggregation: A General Moment Estimator and a Suggested Synthesis
How is generalized least squares related to within and between estimators in unbalanced panel data?
Age-cohort-time effects in sickness absence: Exploring a large data set by polynomial regression
Random coefficients in regression equation systems: The case with unbalanced panel data
Revisiting, from a Frischian point of view, the relationship between elasticities of intratemporal and intertemporal substitution
Depreciation Profiles and the User Cost of Capital
Identifying age-cohort-time effects, their curvature and interactions from polynomials: Examples related to sickness absence
Identification and method of moments estimation in polynomial measurement error models
Identifying trend and age effects in sickness absence from individual data: Some econometric problems
Panel data with measurement errors: Instrumental variables and GMM procedures combining levels and differences
Panel data estimators and aggregation
The efficiency of panel data estimators: GLS versus estimators which do not depend on variance components
Constructing Panel Data Estimators by Aggregation: A General Moment Estimator and a Suggested Synthesis
How is generalized least squares related to within and between estimators in unbalanced panel data?
Age-cohort-time effects in sickness absence: Exploring a large data set by polynomial regression
Random coefficients in regression equation systems: The case with unbalanced panel data
Revisiting, from a Frischian point of view, the relationship between elasticities of intratemporal and intertemporal substitution
Depreciation Profiles and the User Cost of Capital
Identifying age-cohort-time effects, their curvature and interactions from polynomials: Examples related to sickness absence
Identification and method of moments estimation in polynomial measurement error models