This paper analyses the asymptotic and finite sample implications of a mixed nonstationary behavior among the dependent and explanatory variables in a linear spurious regression model. We study the cases when the nonstationarity in the dependent variable is deterministic (stochastic), while the...

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...

We study the phenomenon of spurious regression between two random variables,when the generating mechanism of individual series is assumed to follow a stationary process around a trend with (possibly) multiple breaks in the level and slope of trend. We develop the relevant asymptotic theory and...