Nonsense Regressions between Integrated Processes of Different Orders

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Nonsense Regressions between Integrated Processes of Different Orders

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Marmol, Francesc

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Francesc Marmol

Abstract

Herein the author develops an analytical study of the asymptotic distributions obtained when he runs linear regressions in the levels of stochastically independent integrated time series when the orders of integration of the dependent and independent variables are different. These theoretical findings largely explain the Monte Carlo results recently reported in A. Banerjee et al. (1993). Copyright 1996 by Blackwell Publishing Ltd

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Article provided by Department of Economics, University of Oxford in its journal Oxford Bulletin of Economics & Statistics.

Volume (Year): 58 (1996)
Issue (Month): 3 (August)
Pages: 525-36
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Handle: RePEc:bla:obuest:v:58:y:1996:i:3:p:525-36

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Antonio E. Noriega & Daniel Ventosa-Santaularia, . "Spurious Regression and Trending Variables," School of Economics Working Papers EM200701, Universidad de Guanajuato. [Downloadable!]
Other versions:
- 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, 06. [Downloadable!] (restricted)
Uwe Hassler, 2003. "Nonsense regressions due to neglected time-varying means," Statistical Papers, Springer, vol. 44(2), pages 169-182, April. [Downloadable!] (restricted)
Clive Granger & Namwon Hyung & Yongil Jeon, 1998. "Spurious Regressions with Stationary Series," University of California at San Diego, Economics Working Paper Series 1998-25, Department of Economics, UC San Diego. [Downloadable!]
Other versions:
- Clive W.J. Granger & Namwon Hyung & Yongil Jeon, 1998. "Spurious Regressions with Stationary Series," University of California at San Diego, Economics Working Paper Series 98-25, Department of Economics, UC San Diego. [Downloadable!]
- Granger, Clive W J & Hyung, Namwon & Jeon, Yongil, 2001. "Spurious Regressions with Stationary Series," Applied Economics, Taylor and Francis Journals, vol. 33(7), pages 899-904, June. [Downloadable!] (restricted)
Peter C.B. Phillips, 2004. "Challenges of Trending Time Series Econometrics," Cowles Foundation Discussion Papers 1472, Cowles Foundation, Yale University. [Downloadable!]

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