In this paper we present a consistent estimator for a linear filter (distributed lag) when the independent variable is subject to observational error. Unlike the standard errors-in-variables estimator which uses instrumental variables, our estimator works directly with observed data. It is based...

This paper presents a frequency-domain technique for estimating distributed lag coefficients (the impulse-response function) when observations are randomly missed. The technique treats stationary processes with randomly missed observations as amplitude-modulated processes and estimates the...