On Theil's Errors

We take a fresh look at Theil's BLUS residuals and ask why they have gone out of fashion.All our simulation experiments indicate that tests based on BLUS residuals have higher power than those based on the more popular recursive residuals, even in those cases (structural breaks) where intuition would favour the recursive residuals.

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Year of publication:	2003
Authors:	Magnus, Jan R. ; Sinha, A.K.
Institutions:	Tilburg University, Center for Economic Research
Subject:	simulation \| econometrics \| statistics \| comparison

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Extent:	application/pdf
Series:	Discussion Paper.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series CentER Discussion Paper Number 2003-18
Classification:	B23 - Econometrics; Quantitative Studies ; C10 - Econometric and Statistical Methods: General. General ; C13 - Estimation ; C20 - Econometric Methods: Single Equation Models. General
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011092941