{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2025,10,5]],"date-time":"2025-10-05T04:35:21Z","timestamp":1759638921113},"reference-count":44,"publisher":"Cambridge University Press (CUP)","issue":"1","license":[{"start":{"date-parts":[[2013,8,7]],"date-time":"2013-08-07T00:00:00Z","timestamp":1375833600000},"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>Static models that are not identifiable in the presence of white noise measurement errors are known to be potentially identifiable when the model has dynamics. However, few results are available for the plausible case of serially correlated measurement errors. This paper provides order and rank conditions for \u201climited information\u201d identification of parameters in dynamic models with measurement errors where some aspects of the probability model are not fully specified or utilized. The key is to consider a model for the contaminated data that has richer dynamics than the model for the correctly observed data. Simply counting the total number of unknown parameters in the true model relative to the estimable model will not yield an informative order condition for identification. Implications for single-equation, vector autoregressive, and panel data models are studied.<\/jats:p>","DOI":"10.1017\/s0266466613000157","type":"journal-article","created":{"date-parts":[[2013,8,7]],"date-time":"2013-08-07T09:49:31Z","timestamp":1375868971000},"page":"150-175","source":"Crossref","is-referenced-by-count":10,"title":["MEASUREMENT ERRORS IN DYNAMIC MODELS"],"prefix":"10.1017","volume":"30","author":[{"given":"Ivana","family":"Komunjer","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Serena","family":"Ng","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"56","published-online":{"date-parts":[[2013,8,7]]},"reference":[{"key":"S0266466613000157_ref43","first-page":"992","article-title":"The construction of U.S. consumption data: Some facts and their implications for empirical work","volume":"82","author":"Wilcox","year":"1992","journal-title":"American Economic Review"},{"key":"S0266466613000157_ref42","volume-title":"Measurement Error and Latent Variables in Econometrics","author":"Wansbeek","year":"2000"},{"key":"S0266466613000157_ref40","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-4076(01)00079-3"},{"key":"S0266466613000157_ref39","doi-asserted-by":"publisher","DOI":"10.1017\/S026646660218203X"},{"key":"S0266466613000157_ref36","doi-asserted-by":"publisher","DOI":"10.1016\/j.automatica.2006.11.025"},{"key":"S0266466613000157_ref35","doi-asserted-by":"publisher","DOI":"10.1086\/261603"},{"key":"S0266466613000157_ref31","doi-asserted-by":"publisher","DOI":"10.1080\/01621459.1992.10475273"},{"key":"S0266466613000157_ref30","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(93)90080-O"},{"key":"S0266466613000157_ref2","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-9892.1984.tb00374.x"},{"key":"S0266466613000157_ref15","doi-asserted-by":"publisher","DOI":"10.1016\/0304-3932(90)90023-W"},{"key":"S0266466613000157_ref44","first-page":"119","article-title":"On identifiability of stochastic difference equations with errors-in-variables in relation to identifiability of the classical errors-in-variables models","volume":"4","author":"Willassen","year":"1977","journal-title":"Scandinavan Journal of Statistics"},{"key":"S0266466613000157_ref4","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(93)90014-V"},{"key":"S0266466613000157_ref33","doi-asserted-by":"crossref","unstructured":"Patriota A. , Sato J. , & Blas B. (2009) Vector Autoregressive Models with Measurement Errors for Testing Granger Causality. Working paper, Universidade de Sao Paulo.","DOI":"10.1016\/j.stamet.2010.02.001"},{"key":"S0266466613000157_ref26","doi-asserted-by":"publisher","DOI":"10.2307\/1914194"},{"key":"S0266466613000157_ref7","unstructured":"Biorn E . (2008) Measurement Error in a Dynamic Panel Data Analysis: A Synthesis on Modeling and GMM Estimation. Mimeo, University of Oslo."},{"key":"S0266466613000157_ref1","volume-title":"Handbook of Econometrics","volume":"1","author":"Aigner","year":"1984"},{"key":"S0266466613000157_ref9","doi-asserted-by":"crossref","first-page":"423","DOI":"10.1214\/aos\/1033066218","article-title":"Asymptotoic properties of estimators for autoregressive models with errors in variables","volume":"24","author":"Chanda","year":"1996","journal-title":"Annals of Statistics"},{"key":"S0266466613000157_ref21","first-page":"223","article-title":"The identification of vector mixed autoregressive-moving average systems","volume":"56","author":"Hannan","year":"1969","journal-title":"Biometrika"},{"key":"S0266466613000157_ref38","first-page":"841","article-title":"Measurement error in linear autoregressive models","volume":"100","author":"Staudenmayer","year":"2005","journal-title":"Journal of the American Economic Association"},{"key":"S0266466613000157_ref37","doi-asserted-by":"publisher","DOI":"10.2307\/3214343"},{"key":"S0266466613000157_ref28","doi-asserted-by":"publisher","DOI":"10.1007\/978-3-642-95339-2"},{"key":"S0266466613000157_ref41","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-9574.1991.tb01296.x"},{"key":"S0266466613000157_ref5","doi-asserted-by":"publisher","DOI":"10.1007\/BF01192474"},{"key":"S0266466613000157_ref13","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466602183101"},{"key":"S0266466613000157_ref34","doi-asserted-by":"publisher","DOI":"10.2307\/1907835"},{"key":"S0266466613000157_ref16","doi-asserted-by":"publisher","DOI":"10.2307\/2525484"},{"key":"S0266466613000157_ref29","volume-title":"Latent Variables in Socio-Economic Models","author":"Maravall","year":"1977"},{"key":"S0266466613000157_ref32","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(93)90023-X"},{"key":"S0266466613000157_ref3","doi-asserted-by":"crossref","first-page":"95","DOI":"10.1080\/07350015.1986.10509498","article-title":"Measuring measuring error in time series","volume":"4","author":"Ashley","year":"1986","journal-title":"Journal of Business and Economic Statistics"},{"key":"S0266466613000157_ref22","doi-asserted-by":"publisher","DOI":"10.1002\/9780470316429"},{"key":"S0266466613000157_ref6","volume-title":"The Econometrics of Panel Data","author":"Biorn","year":"1996"},{"key":"S0266466613000157_ref8","doi-asserted-by":"publisher","DOI":"10.1086\/298256"},{"key":"S0266466613000157_ref11","doi-asserted-by":"crossref","unstructured":"Eberly J. , Rebelo S. , & Vincent N. (2009) Investment and Value: A Neoclassical Benchmark, CIRPEE Working paper 09\u201308.","DOI":"10.3386\/w13866"},{"key":"S0266466613000157_ref12","doi-asserted-by":"publisher","DOI":"10.1086\/317670"},{"key":"S0266466613000157_ref14","doi-asserted-by":"publisher","DOI":"10.2307\/2110033"},{"key":"S0266466613000157_ref10","doi-asserted-by":"publisher","DOI":"10.1177\/001979390105400405"},{"key":"S0266466613000157_ref17","volume-title":"The Identification Problem in Econometrics","author":"Fisher","year":"1966"},{"key":"S0266466613000157_ref18","doi-asserted-by":"publisher","DOI":"10.2307\/2345178"},{"key":"S0266466613000157_ref19","doi-asserted-by":"publisher","DOI":"10.2307\/1913488"},{"key":"S0266466613000157_ref20","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(86)90058-8"},{"key":"S0266466613000157_ref23","doi-asserted-by":"publisher","DOI":"10.2307\/1909577"},{"key":"S0266466613000157_ref24","doi-asserted-by":"publisher","DOI":"10.1016\/0047-259X(80)90050-0"},{"key":"S0266466613000157_ref25","doi-asserted-by":"publisher","DOI":"10.2307\/1913103"},{"key":"S0266466613000157_ref27","volume-title":"Studies in Econometric Method","volume":"14","author":"Koopmans","year":"1953"}],"container-title":["Econometric Theory"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/www.cambridge.org\/core\/services\/aop-cambridge-core\/content\/view\/S0266466613000157","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2024,5,16]],"date-time":"2024-05-16T04:03:50Z","timestamp":1715832230000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.cambridge.org\/core\/product\/identifier\/S0266466613000157\/type\/journal_article"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2013,8,7]]},"references-count":44,"journal-issue":{"issue":"1","published-print":{"date-parts":[[2014,2]]}},"alternative-id":["S0266466613000157"],"URL":"https:\/\/doi.org\/10.1017\/s0266466613000157","relation":{},"ISSN":["0266-4666","1469-4360"],"issn-type":[{"value":"0266-4666","type":"print"},{"value":"1469-4360","type":"electronic"}],"subject":[],"published":{"date-parts":[[2013,8,7]]}}}