منابع مشابه
Spurious Regressions in Econometrics
It is very common to see reported in applied econometric literature time series regression equations with an apparently high degree of fit, as measured by the coefficient of multiple correlation R2 or the corrected coefficient R2, but with an extremely low value for the Durbin-Watson statistic. We find it very curious that whereas virtually every textbook on econometric methodology contains exp...
متن کاملThe Gauss-markov Theorem and Spurious Regressions
The purpose of this paper is to study the exact nite sample properties of estimators and test statistics for regression coeÆcients of spurious regressions with unit root nonstationary variables. The conditional probability version of the Gauss-Markov theorem is used to nd eÆcient estimators. Then with an additional assumption that the error is normally distributed conditional on the regressors,...
متن کاملA Simple Test for Spurious Regressions
The literature on spurious regressions has found that the t-statistic for testing the null of no relationship between two independent variables diverges asymptotically under a wide variety of nonstationary data generating processes for the dependent and explanatory variables. This paper introduces a simple method which guarantees convergence of this t-statistic to a pivotal limit distribution, ...
متن کاملStructural Spurious Regressions and A Hausman-Wu-type Cointegration Test∗
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 domestic economic agents for legitimate transaction...
متن کاملHandout on Unit Roots , Spurious Regressions and Cointegration
A time series is a random walk if 1 t t t y y u where t u is iid. A time series is a martingale if 1 1 ( ) t t t E y y . A time series is a martingale difference sequence if 1( ) 0 t t E y . A time series is (weakly) stationary if it’s first two moments exist and do not change over time. A time series is invertible if it can be written as an autoregression. A time series is I(0)...
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ژورنال
عنوان ژورنال: Journal of Econometrics
سال: 1974
ISSN: 0304-4076
DOI: 10.1016/0304-4076(74)90034-7