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