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On Theil's errors

  • Jan R. Magnus
  • Ashoke K. Sinha

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

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File URL: http://www.blackwell-synergy.com/doi/abs/10.1111/j.1368-423X.2005.00150.x
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Article provided by Royal Economic Society in its journal The Econometrics Journal.

Volume (Year): 8 (2005)
Issue (Month): 1 (03)
Pages: 39-54

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Handle: RePEc:ect:emjrnl:v:8:y:2005:i:1:p:39-54
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  1. Abadir, K.M. & Magnus, J.R., 2001. "Notation in Econometrics : A Proposal for a Standard," Discussion Paper 2001-8, Tilburg University, Center for Economic Research.
  2. Harvey, A. C. & Phillips, G. D. A., 1974. "A comparison of the power of some tests for heteroskedasticity in the general linear model," Journal of Econometrics, Elsevier, vol. 2(4), pages 307-316, December.
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