Nonsense Regressions between Integrated Processes of Different Orders
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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Volume (Year): 58 (1996)
Issue (Month): 3 (August)
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