{"title":"一阶自回归的测量误差","authors":"P. Franses","doi":"10.47654/v24y2020i2p1-14","DOIUrl":null,"url":null,"abstract":"The Ordinary Least Squares (OLS) estimator for the slope parameter in a first-order autoregressive model is biased when the variable is measured with error. Such an error may occur with revisions of macroeconomic data. This paper illustrates and proposes a simple procedure to alleviate the bias, and is based on Total Least Squares (TLS). TLS is, in general, consistent, and also works well in small samples. Simulation experiments and an empirical example show the usefulness of this method.","PeriodicalId":38875,"journal":{"name":"Advances in Decision Sciences","volume":"24 1","pages":"1-14"},"PeriodicalIF":0.0000,"publicationDate":"2020-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"1","resultStr":"{\"title\":\"Measurement Error in a First-order Autoregression\",\"authors\":\"P. Franses\",\"doi\":\"10.47654/v24y2020i2p1-14\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"The Ordinary Least Squares (OLS) estimator for the slope parameter in a first-order autoregressive model is biased when the variable is measured with error. Such an error may occur with revisions of macroeconomic data. This paper illustrates and proposes a simple procedure to alleviate the bias, and is based on Total Least Squares (TLS). TLS is, in general, consistent, and also works well in small samples. Simulation experiments and an empirical example show the usefulness of this method.\",\"PeriodicalId\":38875,\"journal\":{\"name\":\"Advances in Decision Sciences\",\"volume\":\"24 1\",\"pages\":\"1-14\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2020-06-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"1\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Advances in Decision Sciences\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.47654/v24y2020i2p1-14\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q2\",\"JCRName\":\"Decision Sciences\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Advances in Decision Sciences","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.47654/v24y2020i2p1-14","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"Decision Sciences","Score":null,"Total":0}
The Ordinary Least Squares (OLS) estimator for the slope parameter in a first-order autoregressive model is biased when the variable is measured with error. Such an error may occur with revisions of macroeconomic data. This paper illustrates and proposes a simple procedure to alleviate the bias, and is based on Total Least Squares (TLS). TLS is, in general, consistent, and also works well in small samples. Simulation experiments and an empirical example show the usefulness of this method.