Search Results - subject:"spurious regression"

A Spurious Regression Approach to Estimating Structural Parameters

Choi, Chi-Young; Hu, Ling; Ogaki, Masao - Econometric Society - 2004

-run, we have a cointegrating regression when money is measured with a stationary measurement error, but have a spurious … regression when money is measured with a nonstationary measurement error. We can still recover structural parameters under …

Persistent link: https://www.econbiz.de/10005342294

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

Winker, Peter; Meyer, Mark - Staatswissenschaftliche Fakultät, … - 2004

presented within this paper indicate that HP filtered series give seriously rise to spurious regression results. …

Persistent link: https://www.econbiz.de/10009211181

Spurious Regressions with Stationary Gegenbauer Processes and Harmonic Processes

Sun, Yixiao - Department of Economics, University of California-San … - 2003

deterministic trigonometric series. We find the spurious regression can occur between two stationary Gegenbauer processes, as long … have poles at the same location. The spurious regression may also be present between a stationary Gegenbauer process and a …

Persistent link: https://www.econbiz.de/10010536440

A Convergent t-statistic in Spurious Regressions

Sun, Yixiao - Department of Economics, University of California-San … - 2003

This paper proposes a convergent t-statistic for spurious regressions. The new t-statistic is based on the heteroscedasiticity and autocorrelation consistent (HAC) standard error estimate with the bandwidth equal to the sample size. Using autocovariances of all lags, the so-defined HAC estimator...

Persistent link: https://www.econbiz.de/10010536481

Estimation of the Long-run Average Relationship in Nonstationary Panel Time Series

Sun, Yixiao - Department of Economics, University of California-San … - 2003

This paper proposes a new class of estimators of the long-run average relationship when there is no individual time series cointegration. Using panel data with large cross section (n) and time series dimensions (T), the estimators are based on the long-run average variance estimate using...

Persistent link: https://www.econbiz.de/10010536498

Spurious regression and lurking variables

García-Belmonte, Lizeth; Ventosa-Santaulària, Daniel - In: Statistics & Probability Letters 81 (2011) 12, pp. 2004-2010

We present asymptotic and finite-sample arguments to study the spurious regression problem. This problem may be solved … also valid if the lurking variable is a trending mechanism, as when the spurious regression is due to nonstationarities in …

Persistent link: https://www.econbiz.de/10011040043

Spurious regressions driven by excessive volatility

Kim, Chang Sik; Lee, Sungro - In: Economics Letters 113 (2011) 3, pp. 292-297

This paper shows that the excessive volatility results in spurious regressions. The spuriousness can be driven by persistency in the error variances unlike the conventional spurious regressions that are generated by the persistency in the level of regression errors.

Persistent link: https://www.econbiz.de/10010572163

Spurious regression: A higher-order problem

Sollis, Robert - In: Economics Letters 111 (2011) 2, pp. 141-143

This paper investigates solving the spurious regression problem using an autocorrelation correction. It is shown that …

Persistent link: https://www.econbiz.de/10009018791

Type I Spurious Regression in Econometrics

Chiarella, Carl; Gao, S. - Finance Discipline Group, Business School - 2002

relation among their levels. This phenomenon is known as type I spurious regression. Time series are dynamic processes, and the … differenced time series tends to reject the relation between their levels, and so potentially to incur type I spurious regression. …

Persistent link: https://www.econbiz.de/10005102369

On the Futility of Testing the Error Term Assumptions in a Spurious Regression

Giles, David E. A. - Department of Economics, University of Victoria - 2002

A spurious regression model is one in which the dependent and independent variables are non-stationary, but not … probability to zero. In this paper we show that similar results apply to other common tests of a spurious regression model …

Persistent link: https://www.econbiz.de/10005839159