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

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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