Search Results - subject:"Spurious regression"

Spurious regression and econometric trends

Noriega, Antonio E.; Ventosa-Santaulària, Daniel - Society for Computational Economics - SCE - 2006

the dependent and explanatory variables in a linear spurious regression model. We study cases when the nonstationarity 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 …

Persistent link: https://www.econbiz.de/10005342927

Using HP Filtered Data for Econometric Analysis: Some Evidence from Monte Carlo Simulations

Meyer, Mark; Peter Winker* - In: AStA Advances in Statistical Analysis 89 (2005) 3, pp. 303-320

Persistent link: https://www.econbiz.de/10005371277

A wald Test for Spatial Nonstationarity.

LAURIDSEN, J.; KOSFELD, R. - In: Estudios de Economía Aplicada 22 (2004) Diciembre, pp. 1-12

A test strategy consisting of a two-step Lagrange multiplier test was recently suggested as a device to reveal spatial nonstationarity, spurious spatial regression and presence of a spatial cointegrating relationship between two variables. Due to the well known radicality of such pre-tests in...

Persistent link: https://www.econbiz.de/10005549545

An Alternative Estimation of Spurious Regression Model

Rahman, Shahidur - Econometric Society - 2004

differencing is not the universal sure solution to the problem of spurious regression models. This has prompted the discovery of … with the problem of the spurious regression model when the co movements between the variables are different. If the …

Persistent link: https://www.econbiz.de/10005342144

Small sample properties of panel time-series estimators with I(1) errors

Jerry Coakley, Ana-Maria Fuertes, Ron Smith - Society for Computational Economics - SCE - 2001

Monte Carlo simulations are used to explore the small-sample properties of a mean group and two pooled panel estimators of a regression coefficient when the regressor is I(1). We compare and contrast the effect of I(0) and I(1) errors and homogeneous and heterogeneous coefficients in a design...

Persistent link: https://www.econbiz.de/10005132876

Spurious deterministic seasonality and autocorrelation corrections with quarterly data: Further Monte Carlo results

Lopes, Artur C. B. da Silva - In: Empirical Economics 24 (1999) 2, pp. 341-359

Following recent work of Franses, Hylleberg and Lee (FHL), this paper analyses the consequences of fitting a deterministic seasonal model to a quarterly time series which can be (at least approximately) described by a seasonal unit root(s) model. Besides the distribution of the coefficient of...

Persistent link: https://www.econbiz.de/10005382481

Sind ökonomische Prozesse Irrfahrtprozesse?

Lorenzen, Gunter - In: Wirtschaftswissenschaft und Wirtschaftswirklichkeit, (pp. 169-179). 1998

Persistent link: https://www.econbiz.de/10001304246

Spurious Regression and Residual-Based Tests for Cointegration in Panel Data When the Cross-Section and Time-Series Dimensions are Comparable

Kao, Chihwa - EconWPA - 1997

different from those of the spurious regression in the pure time series. This has an important consequence for residual …

Persistent link: https://www.econbiz.de/10005407888

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