Random Walks with Drifts, Simulaneous Equation Errors, and Small Samples - Simulating the Bird's Eye View

Horst Entorf ()

Econometrics from EconWPA

Abstract: The paper illustrates finite sample problems of regression models with I(1) variables. The importance of drifts on test statistics is analysed both analytically and by simulation methods. Moreover, Haavelmo's famous example for the presence of some simultaneous equation bias is considered in the superconsistent case of cointegrated variables. It is shown that TSLS still leads to some improvement even in the case of cointegration when short times series are considered. A main purpose of the paper was to give a graphical exposition of finite sample problems. Most of the results are summarized by use of three-dimensional density functions.

Keywords: Spurious Regressions; Panel Econometrics; Fixed-Effect Modelling; Superconsistency; Monte Carlo (search for similar items in EconPapers)
JEL-codes: C1 C2 C3 C4 C5 C8 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-rmg
Date: 2004-01-30
Note: Type of Document - pdf; pages: 50. Discussion paper version (PDF file) of "Random walks with drifts: Nonsense regressions and spurious fixed-effect estimation, Journal of Econometrics 80 (1997), 287-296"

Downloads: (external link)
http://129.3.20.41/eps/em/papers/0401/0401009.pdf (application/pdf)

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:wpa:wuwpem:0401009

Access Statistics for this paper

More papers in Econometrics from EconWPA
Series data maintained by EconWPA ().