MEASUREMENT ERRORS IN DYNAMIC MODELS

Forecasting with Measurement Errors in Dynamic Models

In this paper we explore the consequences for forecasting of the following two facts: first, that over time statistical agencies revise and improve published data, so that observations on more recent events are those that are least well measured. Second, that economies are such that observations on the most recent events contain the the largest signal about the future. We discuss a variety of f...

Nonlinear Models of Measurement Errors

Measure errors in economic data are pervasive and nontrivial in size. The presence of measurement errors causes biased and inconsistent parameter estimates and leads to erroneous conclusions to various degrees in economic analysis. The importance of measurement errors in analyzing the empirical implications of economic theories is highlighted in Milton Friedman’s seminal book on the consumption...

Measurement Errors in Quantile Regression Models∗

This paper develops estimation and inference for quantile regression models with measurement errors. We propose an easily-implementable semiparametric two-step estimator when we have repeated measures for the covariates. Building on recent theory on Z-estimation with infinite-dimensional parameters, consistency and asymptotic normality of the proposed estimator are established. We also develop ...

Sensitivity of DEA models to measurement errors

One of the weak points of DEA (Data Envelopment Analysis) models indicated in literature [1,2] is their sensitivity to variable measurement errors. The occurrence of data interference, which is the basis of the productivity analysis, may distort the classification of the units and may cause misjudgement of their effectiveness. In the article the results of simulation concerning the DEA models s...

Nonlinear Models of Measurement Errors By