Efficiency Tradeoffs in Estimating the Linear Trend Plus Noise Model

This paper presents the results of a Monte Carlo comparison of feasible GLS estimators of the trend parameter in the linear trend plus noise model, where the noise component may or may not be a unit root process. We include an FGLS estimator that estimates the noise component using a median−unbiased estimator.

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Year of publication:	2006-02-01
Authors:	Falk, Barry L. ; Roy, Anindya
Institutions:	Department of Economics, Iowa State University

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Series:	Staff General Research Papers.
Type of publication:	Book / Working Paper
Notes:	Published in Economics Bulletin, February 2006, vol. 3, pp. 1-9
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005433361