Ordinary least squares estimation of the functional errors-in-variables model with trended data:some monte carlo evidence |
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Authors: | W Krämer |
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Institution: | Institute for Advanced Studies , Stumpergasse 56 A-1060, Vienna, Austria |
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Abstract: | This note summarizes some Monte Carlo experiments that were designed to investigate the finite sample relevance of the asymptotic normality and efficiency of OLS in the errors-in-variables model with trended data. The experiments show that the normal approximation is not very satisfactory for sample size up to T=400, but that OLS is quite efficient relative to competing estimators when there is a trend in the exogenous variables of the model. |
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Keywords: | trending regressors contaminated data finite sample properties |
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