Simple Regressions with Linear Time Trends

Uwe Hasseler

Journal of Time Series Analysis, 2000, vol. 21, issue 1, 27-32

Abstract: Simple regressions of two trend stationary time series are considered. As the linear trend dominates the stochastic components the rates of convergence and the limiting distributions of ordinary least squares statistics are exactly the same as in the case of cointegrated regressions with drifts. In particular, asymptotic standard normal t statistics are readily available. Hence, asymptotic inference requires no distinction between simple regressions of trend stationary series and of cointegrated variables with drifts.

Date: 2000
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