Efficiency Tradeoffs in Estimating the Linear Trend Plus Noise Model

Barry L. Falk and Anindya Roy

Staff General Research Papers Archive from Iowa State University, Department of Economics

Abstract: 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.

Date: 2006-02-01
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Published in Economics Bulletin, February 2006, vol. 3, pp. 1-9

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Persistent link: https://EconPapers.repec.org/RePEc:isu:genres:12502

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