Falk, Barry L.; Roy, Anindya

Economics Bulletin Vol. 3 (February 2006): 1-9.

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.