Spurious Regressions with Processes Around Linear Trends or Drifts
نویسندگان
چکیده
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...
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A “spurious regression” is one in which the time-series variables are non-stationary and independent. It is well-known that in this context the OLS parameter estimates and the R converge to functionals of Brownian motions; the “t-ratios” diverge in distribution; and the Durbin-Watson statistic converges in probability to zero. We derive corresponding results for some common tests for the Normal...
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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...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2003
ISSN: 1556-5068
DOI: 10.2139/ssrn.422500