{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,10,7]],"date-time":"2026-10-07T07:11:54Z","timestamp":1791357114280,"version":"4.3.1"},"reference-count":59,"publisher":"Cambridge University Press (CUP)","issue":"1","license":[{"start":{"date-parts":[[2013,8,8]],"date-time":"2013-08-08T00:00:00Z","timestamp":1375920000000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/www.cambridge.org\/core\/terms"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Econom. Theory"],"published-print":{"date-parts":[[2014,2]]},"abstract":"<jats:p>An economic time series can often be viewed as a noisy proxy for an underlying economic variable. Measurement errors will influence the dynamic properties of the observed process and may conceal the persistence of the underlying time series. In this paper we develop instrumental variable (IV) methods for extracting information about the latent process. Our framework can be used to estimate the autocorrelation function of the latent volatility process and a key persistence parameter. Our analysis is motivated by the recent literature on realized volatility measures that are imperfect estimates of actual volatility. In an empirical analysis using realized measures for the Dow Jones industrial average stocks, we find the underlying volatility to be near unit root in all cases. Although standard unit root tests are asymptotically justified, we find them to be misleading in our application despite the large sample. Unit root tests that are based on the IV estimator have better finite sample properties in this context.<\/jats:p>","DOI":"10.1017\/s0266466613000121","type":"journal-article","created":{"date-parts":[[2013,8,8]],"date-time":"2013-08-08T09:40:06Z","timestamp":1375954806000},"page":"60-93","source":"Crossref","is-referenced-by-count":74,"title":["ESTIMATING THE PERSISTENCE AND THE AUTOCORRELATION FUNCTION OF A TIME SERIES THAT IS MEASURED WITH ERROR"],"prefix":"10.1017","volume":"30","author":[{"given":"Peter R.","family":"Hansen","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Asger","family":"Lunde","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"56","published-online":{"date-parts":[[2013,8,8]]},"reference":[{"key":"S0266466613000121_ref55","doi-asserted-by":"publisher","DOI":"10.1016\/0304-3932(86)90054-1"},{"key":"S0266466613000121_ref51","doi-asserted-by":"crossref","first-page":"147","DOI":"10.1080\/07350015.1989.10509723","article-title":"Tests for unit roots: A Monte-Carlo investigation","volume":"7","author":"Schwert","year":"1989","journal-title":"Journal of Business and Economic Statistics"},{"key":"S0266466613000121_ref50","doi-asserted-by":"publisher","DOI":"10.2307\/2297545"},{"key":"S0266466613000121_ref41","doi-asserted-by":"publisher","DOI":"10.1162\/003465302760556486"},{"key":"S0266466613000121_ref58","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1099-1255(199905\/06)14:3<309::AID-JAE531>3.0.CO;2-X"},{"key":"S0266466613000121_ref35","first-page":"307","volume-title":"Forecasting Volatility in Financial Markets","author":"Harvey","year":"1998"},{"key":"S0266466613000121_ref31","doi-asserted-by":"publisher","DOI":"10.1093\/jjfinec\/nbi028"},{"key":"S0266466613000121_ref34","volume-title":"Time Series Models","author":"Harvey","year":"1993"},{"key":"S0266466613000121_ref38","first-page":"970","volume-title":"Palgrave Handbook of Econometrics","volume":"1","author":"Harvey","year":"2006"},{"key":"S0266466613000121_ref26","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(85)90138-1"},{"key":"S0266466613000121_ref25","doi-asserted-by":"publisher","DOI":"10.1093\/biomet\/76.1.49"},{"key":"S0266466613000121_ref24","doi-asserted-by":"publisher","DOI":"10.1016\/j.csda.2006.02.005"},{"key":"S0266466613000121_ref23","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(80)90092-5"},{"key":"S0266466613000121_ref52","first-page":"44,293","article-title":"Forecasting inflation","author":"Stock","year":"1999","journal-title":"Journal of Monetary Economics"},{"key":"S0266466613000121_ref16","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-4076(01)00141-5"},{"key":"S0266466613000121_ref21","volume-title":"Introduction to Time Series","author":"Fuller","year":"1996"},{"key":"S0266466613000121_ref20","doi-asserted-by":"publisher","DOI":"10.1093\/jjfinec\/nbl010"},{"key":"S0266466613000121_ref17","doi-asserted-by":"publisher","DOI":"10.1016\/S0165-1765(99)00041-5"},{"key":"S0266466613000121_ref15","doi-asserted-by":"publisher","DOI":"10.1162\/003465301753237687"},{"key":"S0266466613000121_ref11","doi-asserted-by":"publisher","DOI":"10.1111\/j.1368-423X.2008.00275.x"},{"key":"S0266466613000121_ref9","doi-asserted-by":"crossref","first-page":"95","DOI":"10.1080\/07350015.1986.10509498","article-title":"Measuring measurement error in economic time series","volume":"4","author":"Ashley","year":"1986","journal-title":"Journal of Business and Economic Statistics"},{"key":"S0266466613000121_ref8","doi-asserted-by":"publisher","DOI":"10.1214\/aoms\/1177730090"},{"key":"S0266466613000121_ref22","doi-asserted-by":"crossref","unstructured":"Ghysels E. & Jacquier E. (2006) Market Beta Dynamics and Portfolio Efficiency. Working paper. Chapel Hill, NC: University of North Carolina, Department of Economics.","DOI":"10.2139\/ssrn.711942"},{"key":"S0266466613000121_ref48","doi-asserted-by":"publisher","DOI":"10.1007\/978-3-540-71297-8_36"},{"key":"S0266466613000121_ref30","doi-asserted-by":"publisher","DOI":"10.1002\/jae.800"},{"key":"S0266466613000121_ref46","doi-asserted-by":"crossref","first-page":"979","DOI":"10.3982\/ECTA6814","article-title":"Testing models of low-frequency variablility","volume":"76","author":"Muller","year":"2008","journal-title":"Econometrica"},{"key":"S0266466613000121_ref29","unstructured":"Hansen P.R. & Horel G. , (2009) Quadratic Variation by Markov Chains. CREATES Research Paper 2009\u201313."},{"key":"S0266466613000121_ref3","doi-asserted-by":"publisher","DOI":"10.2307\/2527343"},{"key":"S0266466613000121_ref57","volume-title":"Asymptotic Theory for Econometricians","author":"White","year":"2000"},{"key":"S0266466613000121_ref10","doi-asserted-by":"crossref","first-page":"1481","DOI":"10.3982\/ECTA6495","article-title":"Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise","volume":"76","author":"Barndorff-Nielsen","year":"2008","journal-title":"Econometrica"},{"key":"S0266466613000121_ref7","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2010.03.032"},{"key":"S0266466613000121_ref40","doi-asserted-by":"publisher","DOI":"10.1016\/j.jempfin.2004.04.009"},{"key":"S0266466613000121_ref54","volume-title":"Asset Price Dynamics, Volatility, and Prediction","author":"Taylor","year":"2005"},{"key":"S0266466613000121_ref33","first-page":"456","article-title":"The model confidence set","volume":"79","author":"Hansen","year":"2011","journal-title":"Econometrica"},{"key":"S0266466613000121_ref36","doi-asserted-by":"publisher","DOI":"10.1002\/1099-131X(200101)20:1<1::AID-FOR764>3.0.CO;2-3"},{"key":"S0266466613000121_ref27","doi-asserted-by":"publisher","DOI":"10.1080\/01621459.1988.10478675"},{"key":"S0266466613000121_ref39","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-0262.2005.00616.x"},{"key":"S0266466613000121_ref19","volume-title":"Ox: An Object-Orientated Matrix Programming Langguage","author":"Doornik","year":"2006"},{"key":"S0266466613000121_ref1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-6419.2007.00501.x"},{"key":"S0266466613000121_ref47","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2010.03.034"},{"key":"S0266466613000121_ref43","doi-asserted-by":"publisher","DOI":"10.1002\/jae.689"},{"key":"S0266466613000121_ref49","doi-asserted-by":"publisher","DOI":"10.2307\/2297890"},{"key":"S0266466613000121_ref2","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1997.tb02722.x"},{"key":"S0266466613000121_ref5","doi-asserted-by":"publisher","DOI":"10.1111\/j.0020-6598.2004.00298.x"},{"key":"S0266466613000121_ref42","unstructured":"Meddahi N . (2001) An Eigenfunction Approach for Volatility Modeling. Cirano Working Paper 2001s\u201370."},{"key":"S0266466613000121_ref44","doi-asserted-by":"publisher","DOI":"10.1111\/1368-423X.t01-1-00112"},{"key":"S0266466613000121_ref45","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-4076(03)00200-8"},{"key":"S0266466613000121_ref6","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-0262.2005.00572.x"},{"key":"S0266466613000121_ref4","doi-asserted-by":"publisher","DOI":"10.1111\/1468-0262.00418"},{"key":"S0266466613000121_ref32","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2005.01.005"},{"key":"S0266466613000121_ref59","doi-asserted-by":"publisher","DOI":"10.1198\/016214505000000169"},{"key":"S0266466613000121_ref13","doi-asserted-by":"publisher","DOI":"10.1111\/1467-9868.00336"},{"key":"S0266466613000121_ref12","doi-asserted-by":"publisher","DOI":"10.1017\/CBO9780511617010.011"},{"key":"S0266466613000121_ref18","doi-asserted-by":"publisher","DOI":"10.1016\/0927-5398(93)90006-D"},{"key":"S0266466613000121_ref37","doi-asserted-by":"crossref","DOI":"10.1093\/oso\/9780199278657.001.0001","volume-title":"Readings in Unobserved Components Models","author":"Harvey","year":"2005"},{"key":"S0266466613000121_ref53","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-4076(03)00115-5"},{"key":"S0266466613000121_ref14","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-4076(99)00079-2"},{"key":"S0266466613000121_ref28","doi-asserted-by":"crossref","first-page":"53","DOI":"10.1080\/07350015.1996.10524629","article-title":"Efficient estimation of linear asset-pricing models with moving average errors","volume":"14","author":"Hansen","year":"1996","journal-title":"Journal of Business and Economic Statistics"},{"key":"S0266466613000121_ref56","doi-asserted-by":"publisher","DOI":"10.1111\/1468-2354.00145"}],"container-title":["Econometric Theory"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/www.cambridge.org\/core\/services\/aop-cambridge-core\/content\/view\/S0266466613000121","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2024,5,16]],"date-time":"2024-05-16T05:32:58Z","timestamp":1715837578000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.cambridge.org\/core\/product\/identifier\/S0266466613000121\/type\/journal_article"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2013,8,8]]},"references-count":59,"journal-issue":{"issue":"1","published-print":{"date-parts":[[2014,2]]}},"alternative-id":["S0266466613000121"],"URL":"https:\/\/doi.org\/10.1017\/s0266466613000121","relation":{},"ISSN":["0266-4666","1469-4360"],"issn-type":[{"value":"0266-4666","type":"print"},{"value":"1469-4360","type":"electronic"}],"subject":[],"published":{"date-parts":[[2013,8,8]]}}}