On Theil's Errors

J.R. Magnus, A.K. Sinha

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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
Number of pages21
Publication statusPublished - 2003

Publication series

NameCentER Discussion Paper


  • simulation
  • econometrics
  • statistics
  • comparison

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