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On Theil's errors

Author

Listed:
  • Jan R. Magnus
  • Ashoke K. Sinha

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. Copyright 2005 Royal Economic Society

Suggested Citation

  • Jan R. Magnus & Ashoke K. Sinha, 2005. "On Theil's errors," Econometrics Journal, Royal Economic Society, vol. 8(1), pages 39-54, March.
    • Handle: RePEc:ect:emjrnl:v:8:y:2005:i:1:p:39-54
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    Cited by:

    1. Vougas, Dimitrios V., 2008. "Unit root testing based on BLUS residuals," Statistics & Probability Letters, Elsevier, vol. 78(13), pages 1943-1947, September.

    More about this item

    JEL classification:

    • B23 - Schools of Economic Thought and Methodology - - History of Economic Thought since 1925 - - - Econometrics; Quantitative and Mathematical Studies
    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C20 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - General

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