منابع مشابه
Spurious Regression
The spurious regression phenomenon in least squares occurs for a wide range of data generating processes, such as driftless unit roots, unit roots with drift, long memory, trend and brokentrend stationarity. Indeed, spurious regressions have played a fundamental role in the building of modern time series econometrics and have revolutionized many of the procedures used in applied macroeconomics....
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Panel data, whose series length T is large but whose cross-section size N need not be, are assumed to have a common time trend. The time trend is of unknown form, the model includes additive, unknown, individual-speci c components, and we allow for spatial or other cross-sectional dependence and/or heteroscedasticity. A simple smoothed nonparametric trend estimate is shown to be dominated by an...
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A test strategy consisting of a two-step application of a Lagrange Multiplier test was recently suggested as a device to reveal spatial nonstationarity, spurious spatial regression and spatial cointegration. The present paper generalises the test procedure by incorporating control for biased test values emerging from unobserved heteroscedasticity. Using Monte Carlo simulation, the behaviour of ...
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A local limit theorem is proved for sample covariances of nonstationary time series and integrable functions of such time series that involve a bandwidth sequence. The resulting theory enables an asymptotic development of nonparametric regression with integrated or fractionally integrated processes that includes the important practical case of spurious regressions. Some local regression diagnos...
متن کاملUnderstanding spurious regression in financial economics
In view of the fact that classic asymptotic theory can not provide satisfactory explanation for Ferson, Sarkissian and Simin’s (2003a, 2003b) simulation findings on spurious regression in the context of financial economics, we develop an alternative distributional theory. Closely related is the well-known (nearly) observational equivalence issue in unit root testing literature. This study emplo...
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ژورنال
عنوان ژورنال: Oxford Bulletin of Economics and Statistics
سال: 2007
ISSN: 0305-9049,1468-0084
DOI: 10.1111/j.1468-0084.2007.00481.x