On Theil's errors
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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Volume (Year): 8 (2005)
Issue (Month): 1 (03)
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- 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.
- Abadir, K.M. & Magnus, J.R., 2001.
"Notation in Econometrics : A Proposal for a Standard,"
2001-8, Tilburg University, Center for Economic Research.
- Karim M. Abadir & Jan R. Magnus, 2002. "Notation in econometrics: a proposal for a standard," Econometrics Journal, Royal Economic Society, vol. 5(1), pages 76-90, June.
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