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
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
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
-
12.07.2024, 13:22 MESZ
Objekttyp
- Arbeitspapier
Beteiligte
- Biørn, Erik
- University of Oslo, Department of Economics
Entstanden
- 2014
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