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Efficiency Tradeoffs in Estimating the Linear Trend Plus Noise Model

This paper presents the results of a Monte Carlo comparison of feasible GLS estimators of the trend parameter in the linear trend plus noise model, where the noise component may or may not be a unit root process. We include an FGLS estimator that estimates the noise component using a median-unbiased estimator.
Year of publication:
2006-02-22
Authors: Falk, Barry ; Roy, Anindya
Published in:
Economics Bulletin. - AccessEcon, ISSN 1545-2921. - Vol. 3.2006, 6, p. 1-9
Publisher: AccessEcon
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application/pdf
Type of publication: Article
Classification: C2 - Econometric Methods: Single Equation Models
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Persistent link: https://www.econbiz.de/10010836184
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