论泰尔的错误

On Theil's errors

Econometrics Journal · 2005
被引 7
ABS 3

中文导读

重新审视泰尔的BLUS残差,通过模拟实验发现基于BLUS残差的检验比流行的递归残差检验功效更高,即使在直觉上更倾向递归残差的结构断点情形下也是如此。

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.

计量经济学统计学经济学方法论