SPURIOUS REGRESSIONS WITH PROCESSESAROUND LINEAR TRENDS OR DRIFTS

In this paper we consider the situation where the deterministiccomponents of the processes generating individual series are linear trendsand the individual series are independent I(0) or I(1) processes. We showthat when those time series are used in ordinary least squares regression,the phenomenon of spurious regression occurs regardless of whether a timetrend is included in the regression.

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Year of publication:	2003-05-01
Authors:	Kim, Tae-Hwan ; Lee-Scheller, Young-Sook ; Newbold, Paul
Institutions:	University <Nottingham> / Department of Economics
Subject:	Spieltheorie \| game theory \| Regressionsanalyse \| Linear-homogene Differentialgleichung \| Linear Trends \| Drift \| Unabhängigkeit

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Extent:	403456 bytes 20 p. application/pdf
Series:	The University of Nottingham / School of Economics - discussion papers Discussion Paper ; No. 03/07
Type of publication:	Book / Working Paper
Language:	English
ISSN:	1360-2438
Classification:	Strategic management ; Market research ; Individual Working Papers, Preprints ; No country specification
Source:	USB Cologne (business full texts)

Persistent link: https://www.econbiz.de/10005868905