Efficiency Tradeoffs in Estimating the Linear Trend Plus Noise Model

Barry Falk () and Anindya Roy ()
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Barry Falk: Department of Economics, Iowa State University
Anindya Roy: University of Maryland-Baltimore County

Economics Bulletin, 2006, vol. 3, issue 6, 1-9

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.

JEL-codes: C2 (search for similar items in EconPapers)
Date: 2006-02-22
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