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

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.


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


Zbl 0602.62098
Full Text: DOI


[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
This reference list is based on information provided by the publisher or from digital mathematics libraries. Its items are heuristically matched to zbMATH identifiers and may contain data conversion errors. It attempts to reflect the references listed in the original paper as accurately as possible without claiming the completeness or perfect precision of the matching.