IDEAS home Printed from https://ideas.repec.org/p/tiu/tiutis/593b97f2-9dfe-46c5-928a-ede0c3993082.html
   My bibliography  Save this paper

On Theils' errors

Author

Listed:
  • Magnus, J.R.

    (Tilburg University, School of Economics and Management)

  • Sinha, A.K.

    (Tilburg University, School of Economics and Management)

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
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • Magnus, J.R. & Sinha, A.K., 2005. "On Theils' errors," Other publications TiSEM 593b97f2-9dfe-46c5-928a-e, Tilburg University, School of Economics and Management.
  • Handle: RePEc:tiu:tiutis:593b97f2-9dfe-46c5-928a-ede0c3993082
    as

    Download full text from publisher

    File URL: https://pure.uvt.nl/ws/portalfiles/portal/698982/magnuspaper70.pdf
    Download Restriction: no
    ---><---

    Other versions of this item:

    References listed on IDEAS

    as
    1. Ploberger, Werner & Krämer;, Walter, 1990. "The Local Power of the CUSUM and CUSUM of Squares Tests," Econometric Theory, Cambridge University Press, vol. 6(3), pages 335-347, September.
    2. Dufour, Jean-Marie, 1982. "Recursive stability analysis of linear regression relationships: An exploratory methodology," Journal of Econometrics, Elsevier, vol. 19(1), pages 31-76, May.
    3. 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.
    4. 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.
    5. Koerts, J. & Vorst, J. I., 1967. "Some Further Notes On Disturbance Estimates With A Scalar Covariance Matrix," Econometric Institute Archives 272020, Erasmus University Rotterdam.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    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.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Deng, Ai & Perron, Pierre, 2008. "A non-local perspective on the power properties of the CUSUM and CUSUM of squares tests for structural change," Journal of Econometrics, Elsevier, vol. 142(1), pages 212-240, January.
    2. Perron, Pierre & Yabu, Tomoyoshi, 2009. "Estimating deterministic trends with an integrated or stationary noise component," Journal of Econometrics, Elsevier, vol. 151(1), pages 56-69, July.
    3. Pouliot, William, 2016. "Robust tests for change in intercept and slope in linear regression models with application to manager performance in the mutual fund industry," Economic Modelling, Elsevier, vol. 58(C), pages 523-534.
    4. Arturas Juodis, 2013. "Cointegration Testing in Panel VAR Models Under Partial Identification and Spatial Dependence," UvA-Econometrics Working Papers 13-08, Universiteit van Amsterdam, Dept. of Econometrics.
    5. Carol Alexander & Anca Dimitriu, 2003. "Equity Indexing: Conitegration and Stock Price Dispersion: A Regime Switiching Approach to market Efficiency," ICMA Centre Discussion Papers in Finance icma-dp2003-02, Henley Business School, University of Reading.
    6. repec:ebl:ecbull:v:3:y:2005:i:35:p:1-6 is not listed on IDEAS
    7. Yamaka, Woraphon & Zhang, Xuefeng & Maneejuk, Paravee & Ramos, Vicente, 2023. "Asymmetric effects of third-country exchange rate risk: A Markov switching approach," Annals of Tourism Research, Elsevier, vol. 103(C).
    8. Psaradakis, Zacharias & Sola, Martin, 1996. "On the power of tests for superexogeneity and structural invariance," Journal of Econometrics, Elsevier, vol. 72(1-2), pages 151-175.
    9. Luger, Richard, 2001. "A modified CUSUM test for orthogonal structural changes," Economics Letters, Elsevier, vol. 73(3), pages 301-306, December.
    10. Allen Sinai & Houston H. Stokes, 1989. "Money Balances in the Production Function: A Retrospective Look," Eastern Economic Journal, Eastern Economic Association, vol. 15(4), pages 349-363, Oct-Dec.
    11. Karim M. Abadir & Gabriel Talmain, 2012. "Beyond Co-Integration: Modelling Co-Movements in Macro finance," Working Paper series 25_12, Rimini Centre for Economic Analysis.
    12. Burcu Kapar & William Pouliot, 2013. "Multiple Change-Point Detection in Linear Regression Models via U-Statistic Type Processes," Discussion Papers 13-13, Department of Economics, University of Birmingham.
    13. Becker William & Paruolo Paolo & Saltelli Andrea, 2021. "Variable Selection in Regression Models Using Global Sensitivity Analysis," Journal of Time Series Econometrics, De Gruyter, vol. 13(2), pages 187-233, July.
    14. Juodis, Arturas & Sarafidis, Vasilis, 2015. "A Simple Estimator for Short Panels with Common Factors," MPRA Paper 68164, University Library of Munich, Germany.
    15. Ericsson, Neil R., 1992. "Parameter constancy, mean square forecast errors, and measuring forecast performance: An exposition, extensions, and illustration," Journal of Policy Modeling, Elsevier, vol. 14(4), pages 465-495, August.
    16. Sara Muhammadullah & Amena Urooj & Faridoon Khan, 2021. "A revisit of the unemployment rate, interest rate, GDP growth and Inflation of Pakistan: Whether Structural break or unit root?," iRASD Journal of Economics, International Research Alliance for Sustainable Development (iRASD), vol. 3(2), pages 80-92, September.
    17. Claudio Lupi, 2005. "Are credit constraints in Italy really more binding in the South?," Economics Bulletin, AccessEcon, vol. 3(35), pages 1-6.
    18. Lazarova, Stepana, 2005. "Testing for structural change in regression with long memory processes," Journal of Econometrics, Elsevier, vol. 129(1-2), pages 329-372.
    19. Karim M. Abadir & Adriana Cornea, 2012. "Approximating Moments by Nonlinear Transformations," Working Paper series 22_12, Rimini Centre for Economic Analysis.
    20. Adrian C. Darnell, 1994. "A Dictionary Of Econometrics," Books, Edward Elgar Publishing, number 118.
    21. Abadir, Karim M. & Caggiano, Giovanni & Talmain, Gabriel, 2013. "Nelson–Plosser revisited: The ACF approach," Journal of Econometrics, Elsevier, vol. 175(1), pages 22-34.

    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

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:tiu:tiutis:593b97f2-9dfe-46c5-928a-ede0c3993082. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Richard Broekman (email available below). General contact details of provider: https://www.tilburguniversity.edu/about/schools/economics-and-management/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.