Publication | Closed Access
Measuring Measurement Error in Economic Time Series
12
Citations
12
References
1986
Year
Spectral TheoryMeasurement TheoryEngineeringMeasurementSpectrum EstimationEconomic MeasureStatistical Signal ProcessingEconomic ForecastingData ScienceUncertainty QuantificationEconomic AnalysisTimefrequency AnalysisStatisticsSpectral Decomposition MethodEconomicsSensor Signal ProcessingUpper BoundSignal ProcessingMacroeconomicsSpectral AnalysisBusinessEconometricsEconomic Time Series
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.
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