Regresión espuria en especificaciones dinámicas
AbstractThe spurious regression phenomenon, identified by Granger and Newbold (1974) is well known in econometrics. In fact, spurious regression occurs under a wide variety of Data Generating Processes: driftless unit root, unit root with drift, trend stationarity, broken-trend stationarity,… However, the phenomenon has been solely studied under the assumption that the specification to be estimated is a simple linear regression with a single regressand. We prove in this article that the spurious regression phenomenon also occurs when a dynamic specification is estimated. Dynamic specifications are commonly employed to model expectations. Our results extend the common knowledge concerning spurious regression usually found in popular textbooks: when the variables are trend stationary (i) using them in dynamic specification does not preclude the Durbin-Watson statistic to collapse so the latter is not a reliable tool in the identification of the spurious regression, and (ii) including the lagged value of the dependent variable as a regressand does not always solve the problem of spurious regression.
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Bibliographic InfoArticle provided by Universidad Autonoma de Nuevo Leon, Facultad de Economia in its journal Ensayos Revista de Economia.
Volume (Year): XXVIII (2009)
Issue (Month): 1 (May)
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Find related papers by JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
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