On Theil's errors

JAN R. MAGNUS; ASHOKE K. SINHA

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On Theil's errors

机译：关于泰尔的错误

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摘要

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.

机译：我们重新审视了Theil的BLUS残差，并询问为什么它们过时了。我们所有的模拟实验都表明，基于BLUS残差的测试比基于较流行的递归残差的测试具有更高的功效，即使在直觉会偏爱递归残差的情况下（结构破坏）。

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来源
《The econometrics journal》 |2005年第1期|p.39-54|共16页
作者
JAN R. MAGNUS; ASHOKE K. SINHA;
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作者单位

CentER and Department of Econometrics and Operations Research, Tilburg University, Tilburg, The Netherlands;

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原文格式 PDF
正文语种 eng
中图分类 f;
关键词
BLUS residuals; recursive residuals; power comparisons;

机译：BLUS残差;递归残差;功效比较;

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7. On Theils' errors. [O] . Magnus J.R., Sinha A.K. 100

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On Theil's errors

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