On Theil's Errors

J.R. Magnus, A.K. Sinha

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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.
Original languageEnglish
Place of PublicationTilburg
PublisherEconometrics
Number of pages21
Volume2003-18
Publication statusPublished - 2003

Publication series

NameCentER Discussion Paper
Volume2003-18

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Keywords

  • simulation
  • econometrics
  • statistics
  • comparison

Cite this

Magnus, J. R., & Sinha, A. K. (2003). On Theil's Errors. (CentER Discussion Paper; Vol. 2003-18). Econometrics.