Spurious Regressions with Time-series Data: Further Asymptotic Results
نویسنده
چکیده
A “spurious regression” is one in which the time-series variables are non-stationary and independent. It is well-known that in this context the OLS parameter estimates and the R converge to functionals of Brownian motions; the “t-ratios” diverge in distribution; and the Durbin-Watson statistic converges in probability to zero. We derive corresponding results for some common tests for the Normality and homoskedasticity of the errors in a spurious regression.
منابع مشابه
Local Limit Theory and Spurious Nonparametric Regression
A local limit theorem is proved for sample covariances of nonstationary time series and integrable functions of such time series that involve a bandwidth sequence. The resulting theory enables an asymptotic development of nonparametric regression with integrated or fractionally integrated processes that includes the important practical case of spurious regressions. Some local regression diagnos...
متن کاملSpurious regression and residual-based tests for cointegration in panel data
In the first half of the paper I study spurious regressions in panel data. Asymptotic properties of the least-squares dummy variable (LSDV) estimator and other conventional statistics are examined. The asymptotics of LSDV estimator are different from those of the spurious regression in the pure time-series. This has an important consequence for residual-based cointegration tests in panel data, ...
متن کاملTrends versus Random Walks in Time Series Analysis
JSTOR is a not-for-profit service that helps scholars, researchers, and students discover, use, and build upon a wide range of content in a trusted digital archive. We use information technology and tools to increase productivity and facilitate new forms of scholarship. For more information about JSTOR, please contact [email protected]. This paper studies the effects of spurious detrending in r...
متن کاملSpurious Regression
The spurious regression phenomenon in least squares occurs for a wide range of data generating processes, such as driftless unit roots, unit roots with drift, long memory, trend and brokentrend stationarity. Indeed, spurious regressions have played a fundamental role in the building of modern time series econometrics and have revolutionized many of the procedures used in applied macroeconomics....
متن کاملThe spurious regression of AR(pp) infinite-variance sequence in the presence of structural breaks
This paper analyzes a spurious regression involving AR(p) infinite-variance processes in the presence of structural breaks by least squares using asymptotic theory. It is found that when regressing two independent infinite-variance sequence with breaks in the level and slope of trend, no matter whether the breaks occur at different points or not, the t-ratios become divergent and spurious pheno...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
عنوان ژورنال:
دوره شماره
صفحات -
تاریخ انتشار 2006