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Barry Falk and Anindya Roy
 
''Efficiency Tradeoffs in Estimating the Linear Trend Plus Noise Model''
( 2006, Vol. 3 No.6 )
 
 
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.
 
 
Keywords:
JEL: C2 - Single Equation Models; Single Variables: General
 
Manuscript Received : Jan 17 2006 Manuscript Accepted : Feb 22 2006

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