On Theil's Errors

J.R. Magnus, A.K. Sinha

Research output: Working paperDiscussion paperOther research output

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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

Fingerprint

Simulation experiment
Intuition
Structural breaks

Keywords

  • simulation
  • econometrics
  • statistics
  • comparison

Cite this

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

On Theil's Errors. / Magnus, J.R.; Sinha, A.K.

Tilburg : Econometrics, 2003. (CentER Discussion Paper; Vol. 2003-18).

Research output: Working paperDiscussion paperOther research output

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Magnus JR, Sinha AK. On Theil's Errors. Tilburg: Econometrics. 2003. (CentER Discussion Paper).