Nonsense Regressions between Integrated Processes of Different Orders

Francesc Marmol

Oxford Bulletin of Economics and Statistics, 1996, vol. 58, issue 3, pages 525-36

Abstract: Herein the author develops an analytical study of the asymptotic distributions obtained when he runs linear regressions in the levels of stochastically independent integrated time series when the orders of integration of the dependent and independent variables are different. These theoretical findings largely explain the Monte Carlo results recently reported in A. Banerjee et al. (1993). Copyright 1996 by Blackwell Publishing Ltd

Date: 1996
View citations in EconPapers

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:bla:obuest:v:58:y:1996:i:3:p:525-36

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0305-9049

Access Statistics for this article

Oxford Bulletin of Economics and Statistics is edited by Christopher Adam, Anindya Banerjee, Christopher Bowdler, Gavin Cameron, David Hendry, Adriaan Kalwij, John Knight and Jonathan Temple

More articles in Oxford Bulletin of Economics and Statistics from Department of Economics, University of Oxford
Series data maintained by Christopher F. Baum ().