On the Futility of Testing the Error Term Assumptions in a Spurious Regression
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References listed on IDEAS
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More about this item
KeywordsSpurious regression; normality; homoskedasticity; asymptotic theory; unit roots;
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2002-06-13 (All new papers)
- NEP-ECM-2002-06-13 (Econometrics)
- NEP-ETS-2002-06-13 (Econometric Time Series)
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