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Hassler, Uwe

Spurious regressions when stationary regressors are included. (English) Zbl 0875.62594

Econ. Lett. 50, No. 1, 25-31 (1996).
Summary: Spurious regressions of I(1) variables without drift are analyzed when additional I(0) regressors are included. The asymptotic distributions of P. C. B. Phillips [J. Econ. 33, 311-340 (1986; Zbl 0602.62098)]are embedded in our results.

Cited in 1 Review
Cited in 5 Documents

MSC:

62P20 Applications of statistics to economics
91B84 Economic time series analysis
62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)

Keywords:

Unbalanced regressors; Integrated time series; stationary time series

Citations:

Zbl 0602.62098
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\textit{U. Hassler}, Econ. Lett. 50, No. 1, 25--31 (1996; Zbl 0875.62594)
Full Text: DOI

References:

[1] Choi, I., Spurious regressions and residual-based tests for cointegration when regressors are cointegrated, Journal of Econometrics, 60, 313-320 (1994) · Zbl 0789.62094
[2] Engle, R. F.; Granger, C. W.J, Co-integration and error correction: Representation, estimation, and testing, Econometrica, 55, 251-276 (1987) · Zbl 0613.62140
[3] Granger, C. W.J, Some properties of time series data and their use in econometric model specification, Journal of Econometrics, 16, 121-130 (1981)
[4] Granger, C. W.J; Newbold, P., Spurious regressions in econometrics, Journal of Econometrics, 2, 111-120 (1974) · Zbl 0319.62072
[5] Haldrup, N., The asymptotics of single-equation cointegration regressions with I(1) and I(2) variables, Journal of Econometrics, 63, 153-181 (1994) · Zbl 0814.62075
[6] Park, J. Y.; Phillips, P. C.B, Statistical inference in regressions with integrated processes: Part 2, Econometric Theory, 5, 95-131 (1989)
[7] Phillips, P. C.B, Understanding spurious regressions in econometrics, Journal of Econometrics, 33, 311-340 (1986) · Zbl 0602.62098
[8] Phillips, P. C.B; Durlauf, S. N., Multiple time series regression with integrated processes, Review of Economic Studies, Vol. LIII, 473-495 (1986) · Zbl 0599.62103
[9] Phillips, P. C.B; Ouliaris, S., Asymptotic properties of residual based tests for cointegration, Econometrica, 58, 165-193 (1990) · Zbl 0733.62100
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