Understanding spurious regressions in econometrics
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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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: Journal of Econometrics
سال: 1986
ISSN: 0304-4076
DOI: 10.1016/0304-4076(86)90001-1