On Theil's errors

Jan Magnus () and Ashoke K. Sinha

Econometrics Journal, 2005, vol. 8, issue 1, 39-54

Abstract: 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. Copyright 2005 Royal Economic Society

Date: 2005
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Persistent link: https://EconPapers.repec.org/RePEc:ect:emjrnl:v:8:y:2005:i:1:p:39-54

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