Publication: Errors-in-Variables Estimation with Wavelets
Errors-in-Variables Estimation with Wavelets
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Gençay, R., & Gradojevic, N. (2011). Errors-in-Variables Estimation with Wavelets. Journal of Statistical Computation and Simulation, 81, 1545–1564. https://doi.org/10.1080/00949655.2010.495073
Abstract
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This paper proposes a wavelet (spectral) approach to estimate the parameters of a linear regression model where the regressand and the regressors are persistent processes and contain a measurement error. We propose a wavelet filtering approach which does not require instruments and yields unbiased estimates for the intercept and the slope parameters. Our Monte Carlo results also show that the wavelet approach is particularly effective when measurement errors for the regressand and the regressor are serially correlated. With this paper
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- Gençay, Ramazan
- Gradojevic, Nikola
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Citations
Gençay, R., & Gradojevic, N. (2011). Errors-in-Variables Estimation with Wavelets. Journal of Statistical Computation and Simulation, 81, 1545–1564. https://doi.org/10.1080/00949655.2010.495073
