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....
متن کاملSpurious Spatial Regression, Spatial Cointegration and Heteroscedasticity
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 ...
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...
متن کاملLocal Limit Theory and Spurious Nonparametric Regression
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 کاملA Spurious Regression Approach to Estimating Structural Parameters∗
Economic models often imply that certain variables are cointegrated. However, tests often fail to reject the null hypothesis of no cointegration for these variables. One possible explanation of these test results is that the error is unit root nonstationary due to a nonstationary measurement error in one variable. For example, currency held by the domestic economic agents for legitimate transac...
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ژورنال
عنوان ژورنال: Journal of Probability and Statistics
سال: 2009
ISSN: 1687-952X,1687-9538
DOI: 10.1155/2009/802975