Structural Spurious Regressions and A Hausman-type Cointegration Test

Chi-Young Choi (), Ling Hu and Masao Ogaki ()
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Ling Hu: Ohio State University

No 517, RCER Working Papers from University of Rochester - Center for Economic Research (RCER)

Abstract: This paper proposes two estimators based on asymptotic theory to estimate structural parameters with spurious regressions involving unit-root nonstationary variables. This approach motivates a Hausman-type test for the null hypothesis of cointegration for dynamic Ordinary Least Squares estimation using one of our estimators for spurious regressions. We apply our estimation and testing methods to four applications: (i) long-run money demand in the U.S.; (ii) long-run implications of the consumption-leisure choice; (iii) output convergence among industrial and developing countries; (iv) Purchasing Power Parity for traded and non-traded goods.

Keywords: Spurious regression; GLS correction method; Dynamic regression; Test for cointegration. (search for similar items in EconPapers)
JEL-codes: C10 C15 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm and nep-ets
Date: Written
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