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Measuring Measurement Error in Economic Time Series |
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| Authors: | Richard Ashley David Vaughan |
| Affiliation: | 1. Economics Department , Virginia Polytechnic Institute and State University , Blacksburg , VA , 24061;2. McDonnell Douglas Corporation , Hazelwood , MO , 63042 |
| Abstract: | A spectral decomposition method is described for obtaining an upper bound on the amount of measurement error in a time series. The method is applied to generated data and to M1b, real GNP, and the CPI. The bounds provide insight into both the amount of measurement error in these series and the stochastic specification of the errors. |
| Keywords: | Autoregressive moving average models Estimated powers Estimated significance levels Lagrange multipler tests Portmanteau tests Separate tests Varianceratio tests |