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Blaming suicide on NASA and divorce on margarine : the hazard of using cointegration to derive inference on spurious correlation
Moosa, Imad A. - In: Applied economics 49 (2017) 15, pp. 1483-1490
Persistent link: https://www.econbiz.de/10011813612
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Una prueba simple para regresiones espurias
Noriega, Antonio E.; Ventosa-Santaulària, Daniel - 2011
It has been found that the t-statistic for testing the null of no relationship between two independent variables diverges asymptotically under a wide variety of nonstationary data generating processes. This paper introduces a simple method which guarantees convergence of this t-statistic to a...
Persistent link: https://www.econbiz.de/10010322603
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A Simple Test for Spurious Regressions
Noriega, Antonio E.; Ventosa-Santaulària, Daniel - Banco de México - 2011
It has been found that the t-statistic for testing the null of no relationship between two independent variables diverges asymptotically under a wide variety of nonstationary data generating processes. This paper introduces a simple method which guarantees convergence of this t-statistic to a...
Persistent link: https://www.econbiz.de/10009275698
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Understanding Unemployment Hysteresis: A system-based econometric approach to changing equilibria and slow adjustment
Møller, Niels Framroze - Økonomisk Institut, Københavns Universitet - 2013
presents a multivariate econometric framework for analyzing hysteresis, which allows one to test different hypotheses about non-stationarity … period 1988 up to the onset of the financial crisis, the non-stationarity of UK unemployment cannot be explained as a result …
Persistent link: https://www.econbiz.de/10010690214
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The perils of counterfactual analysis with integrated processes
Carvalho, Carlos Viana de; Masini, Ricardo; Medeiros, … - 2016
are formed by integrated process of order 1. We find that without a cointegration relation (spurious case) the …. Whereas, for the case when at least one cointegration relation exists, we have a T-consistent estimator for the intervention …
Persistent link: https://www.econbiz.de/10011579472
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New asymptotics applied to functional coefficient regression and climate sensitivity analysis
Wang, Qiying; Phillips, Peter C. B.; Wang, Ying - 2023
Persistent link: https://www.econbiz.de/10014317586
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Johansen test with Fourier-type smooth nonlinear trends in cointegrating relations
Kurita, Takamitsu; Shintani, Mototsugu - 2023
Persistent link: https://www.econbiz.de/10014383879
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MONTE CARLO EVIDENCE ON COINTEGRATION AND CAUSATION
ZAPATA, Hector O.; RAMBALDI, Alicia N. - 1996
The small sample performance of Granger causality tests under different model dimensions, degree of c cointegration …
Persistent link: https://www.econbiz.de/10005793858
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MONTE CARLO EVIDENCE ON COINTEGRATION AND CAUSATION
Zapata, Hector O.; Rambaldi, Alicia N. - Department of Agricultural Economics and Agribusiness, … - 1996
The small sample performance of Granger causality tests under different model dimensions, degree of cointegration …
Persistent link: https://www.econbiz.de/10005807589
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Spurious Regression, Cointegration, and Near Cointegration: A Unifying Approach
Haldrup, Niels; Jansson, Michael - 1999
cointegration are provided. As a first application, we give analyticalcorroboration of the conjecture that the finite sample … coefficient. Hence, the notionof near cointegration helps to bridge the gap between the polar cases ofspurious regression and … cointegration. Secondly, we characterize theproperties of conventional cointegration methods under near cointegration …
Persistent link: https://www.econbiz.de/10010324535