Unbalanced Regressions and Spurious Inference
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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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,...
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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, ...
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1 Centro de Investigación y Docencia Económicas (CIDE), División de Economı́a, Carretera México-Toluca 3655 Col. Lomas de Santa Fe, Delegación Álvaro Obregón, México 01210, Mexico 2 Center for Research in Econometric Analysis of Time Series (CREATES) and Department of Economics and Business, Aarhus University, Fuglesangs Allé 4, Building 2622 (203), Aarhus V 8210, Denmark; E-Mail: vrodriguez@cre...
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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: Open Journal of Statistics
سال: 2012
ISSN: 2161-718X,2161-7198
DOI: 10.4236/ojs.2012.23035