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...

This paper is concerned with forecasting time series generated by the linear trend model with autoregressive errors, allowing for a unit root in the autoregressive component. Time series of this sort play an important role in economics, particularly in macroeconomics. We produce simulation...

A popular model for assessing dependence on time is the linear trend plus autoregressive error model. Considerable effort has been devoted toward efficient esitmation of and testing for a linear trend in the presence of serial correlation. However, the testing procedures used in practice do not...

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...