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:	2004
Authors:	Magnus, Jan R. ; Sinha, Ashoke
Publisher:	[S.l.] : SSRN
Subject:	Statistische Methodenlehre \| Statistical theory \| Theorie \| Theory \| Ökonomische Ideengeschichte \| History of economic thought
Description of contents:	Abstract [papers.ssrn.com]

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Extent:	1 Online-Ressource
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments 2003 erstellt Volltext nicht verfügbar
Classification:	B23 - Econometrics; Quantitative Studies ; C10 - Econometric and Statistical Methods: General. General ; C13 - Estimation ; C20 - Econometric Methods: Single Equation Models. General
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10014071558