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Simple Regressions with Linear Time Trends

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  • Uwe Hasseler

Abstract

Simple regressions of two trend stationary time series are considered. As the linear trend dominates the stochastic components the rates of convergence and the limiting distributions of ordinary least squares statistics are exactly the same as in the case of cointegrated regressions with drifts. In particular, asymptotic standard normal t statistics are readily available. Hence, asymptotic inference requires no distinction between simple regressions of trend stationary series and of cointegrated variables with drifts.

Suggested Citation

  • Uwe Hasseler, 2000. "Simple Regressions with Linear Time Trends," Journal of Time Series Analysis, Wiley Blackwell, vol. 21(1), pages 27-32, January.
    • Handle: RePEc:bla:jtsera:v:21:y:2000:i:1:p:27-32
    DOI: 10.1111/1467-9892.00171
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    Cited by:

    1. Daniel Ventosa-Santaularia, 2007. "Spurious Instrumental Variables," Department of Economics and Finance Working Papers EM200704, Universidad de Guanajuato, Department of Economics and Finance, revised Mar 2009.
    2. Manuel Gomez & Daniel Ventosa-Santaularia, 2007. "Income Convergence: The Dickey-Fuller Test under the Simultaneous Presence of Stochastic and Deterministic Trends," Department of Economics and Finance Working Papers EM200703, Universidad de Guanajuato, Department of Economics and Finance.
    3. Antonio E. Noriega & Daniel Ventosa‐Santaulària, 2007. "Spurious Regression and Trending Variables," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 69(3), pages 439-444, June.
    4. García-Belmonte, Lizeth & Ventosa-Santaulària, Daniel, 2011. "Spurious regression and lurking variables," Statistics & Probability Letters, Elsevier, vol. 81(12), pages 2004-2010.
    5. Gómez, Manuel & Ventosa-Santaulària, Daniel, 2007. "Trade liberalization and regional income convergence in Mexico: a time-series analysis," MPRA Paper 58777, University Library of Munich, Germany.
    6. Manuel Gómez Zaldivar & Oscar Manjarrez Castro & Daniel Ventosa-Santaulària, 2009. "Regresión espuria en especificaciones dinámicas," Ensayos Revista de Economia, Universidad Autonoma de Nuevo Leon, Facultad de Economia, vol. 0(1), pages 1-20, May.

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