On Theil's Errors  

Oleh:

Sinha, Ashoke K. ; Magnus, Jan R.

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Econometrics Journal vol. 8 no. 1 (2005), page 39-54.
Topik: ERRORS; BLUS residuals; recursive residuals; power comparisons
Fulltext: 39.pdf (137.16KB)

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Perpustakaan Pusat (Semanggi) Nomor Panggil: EE39.1 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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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.

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