On Theil's Errors

16 Pages Posted: 15 Mar 2005

See all articles by J.R. Magnus

J.R. Magnus

Vrije Universiteit Amsterdam, School of Business and Economics

Ashoke Sinha

Tilburg University - Center for Economic Research (CentER)

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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.

Suggested Citation

Magnus, Jan R. and Sinha, Ashoke, On Theil's Errors. Econometrics Journal, Vol. 8, No. 1, pp. 39-54, March 2005. Available at SSRN: https://ssrn.com/abstract=682844

Jan R. Magnus (Contact Author)

Vrije Universiteit Amsterdam, School of Business and Economics ( email )

De Boelelaan 1105
Amsterdam, 1081HV
Netherlands

Ashoke Sinha

Tilburg University - Center for Economic Research (CentER) ( email )

P.O. Box 90153
Tilburg, 5000 LE
Netherlands

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