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Spurious long-horizon regression in econometrics

Noriega-Muro, Antonio E.; Ventosa-Santaulària, Daniel - 2010

This paper extends recent research on the behaviour of the t-statistic in a long-horizon regression (LHR). We assume that the explanatory and dependent variables are generated according to the following models: a linear trend stationary process, a broken trend stationary process, a unit root...

Persistent link: https://www.econbiz.de/10008656734