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Persistent link: https://www.econbiz.de/10005345477
We study the phenomenon of spurious regression between two random variables when the generating mechanism for individual series follows a stationary process around a trend with (possibly) multiple breaks in its level and slope. We develop relevant asymptotic theory and show that spurious...
Persistent link: https://www.econbiz.de/10005706276
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This paper analyses the asymptotic and finite sample implications of different types of nonstationary behavior among the dependent and explanatory variables in a linear spurious regression model. We study cases when the nonstationarity in the dependent and explanatory variables is deterministic...
Persistent link: https://www.econbiz.de/10005342927
We characterise the relationships between preliminary and subsequent measurements for 16 commonly-used UK macroeconomic indicators drawn from two existing real-time data sets and a new nominal variable database. Most preliminary measurements are biased predictors of subsequent measurements, with...
Persistent link: https://www.econbiz.de/10005345088
The paper considers the question of dominance, in the context of financial markets, of the deterministic unit root processes with a structural break by the bilinear unit root model without such break or vice versa. In the deterministic unit root process breaks are usually interpreted as...
Persistent link: https://www.econbiz.de/10005170564
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This paper studies the dynamics of six major exchange rates, and runs formal tests to distinguish among different types of nonlinearities. In particular we study exchange rate returns, normalized exchange rates and exchange rate volatilities, classifying these series using BDS test, correlation...
Persistent link: https://www.econbiz.de/10005343023