As most econometricians will readily agree, the data used in applied econometrics seldom provide accurate measurements for the pertinent theory's variables. Here, Bernt Stigum offers the first systematic and theoretically sound way of accounting for such inaccuracies. He and a distinguished...

In this paper we study the asymptotic behavior of so-called autoregressive integrated moving average processes. These processes constitute a large class of stochastic difference equations which includes among many other well-known processes the simple one-dimensional random walk. They were...

In this paper we establish three theorems concerning the asymptotic distributions of ordinary least-squares estimates of the parameters of a stochastic difference equation. We show that, if there is at least one root of the associated characteristic equation with modulus less than one and if all...