Toda, Hiro Y.; Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 1991
This paper analyzes whether inclusion of a statistically independent random walk in a vector autoregression can result in spurious inference. The problem was raised originally by Ohanian (1988). In a Monte Carlo simulation based on the VAR's estimated by Sims (1980b, 1982), Ohanian found that...