Spurious OLS Estimators of Detrending Method by Adding a Linear Trend in Difference-Stationary Processes—A Mathematical Proof and Its Verification by Simulation
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- Rémy Herrera & Long Zhiming, 2020. "Spurious OLS Estimators of Detrending Method by Adding a Linear Trend in Difference-Stationary Processes - A Mathematical Proof and its Verification by Simulation," Post-Print hal-03083782, HAL.
- Rémy Herrera & Long Zhiming, 2020. "Spurious OLS Estimators of Detrending Method by Adding a Linear Trend in Difference-Stationary Processes - A Mathematical Proof and its Verification by Simulation," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-03083782, HAL.
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Keywords
stochastic process; detrending method; spurious regressions; Chebyshev’s inequality; Monte Carlo simulation; pseudo-randomness;All these keywords.
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