Trends, Integration Tests and Nonsense Regressions

Uwe Hassler

Chapter 15 in Stochastic Processes and Calculus, 2016, pp 331-352 from Springer

Abstract: Abstract Now we consider some applications of the propositions from the previous chapter. In particular, {e t } and {x t } are integrated of order 0 and integrated of order 1, respectively, cf. the definitions above Proposition 14.2 . It turns out that the regression of a time series on a linear trend leads to asymptotically Gaussian estimators.

Keywords: Nuisance Parameter; Less Square Estimator; Brownian Bridge; Linear Time Trend; Spurious Regression (search for similar items in EconPapers)
Date: 2016
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DOI: 10.1007/978-3-319-23428-1_15

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