Spurious regression and econometric trends
Antonio Noriega (),
University of Guanajuato School of Economics,
Daniel Ventosa-SantaulÃ Ria and
University of Guanajuato School of Economics
Authors registered in the RePEc Author Service: Daniel Ventosa-Santaulària ()
No 151, Computing in Economics and Finance 2006 from Society for Computational Economics
This paper analyses the asymptotic and finite sample implications of different types of nonstationary behavior among the dependent and explanatory variables in a linear spurious regression model. We study cases when the nonstationarity in the dependent and explanatory variables is deterministic as well as stochastic. In particular, we derive the order in probability of the t-statistic in a spurious regression equation under a variety of empirically relevant data generation processes, and show that the spurious regression phenomenon is present in all cases when at least one of the variables behaves in a nonstationary way. Simulation experiments confirm our asymptotic results
Keywords: Spurious regression; trends; unit roots; trend stationarity; structural breaks (search for similar items in EconPapers)
JEL-codes: C12 C13 C22 (search for similar items in EconPapers)
References: Add references at CitEc
Citations View citations in EconPapers (1) Track citations by RSS feed
There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.
Working Paper: Spurious Regression and Econometric Trends (2006)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:sce:scecfa:151
Access Statistics for this paper
More papers in Computing in Economics and Finance 2006 from Society for Computational Economics Contact information at EDIRC.
Bibliographic data for series maintained by Christopher F. Baum ().