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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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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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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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Exploration of dynamic fixed effects logit models from a traditional angle
Kitazawa, Yoshitsugu - Faculty of Economics, Kyushu Sangyo University - 2013
construct the valid moment conditions (including the stationarity moment conditions) for the case without explanatory variable …
Persistent link: https://www.econbiz.de/10010643254
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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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Spurious Regression
Ventosa-Santaulària, Daniel - Volkswirtschaftliche Fakultät, … - 2008
driftless unit roots, unit roots with drift, long memory, trend and broken-trend stationarity. Indeed, spurious regressions have … used in applied macroeconomics. Spin-offs from this research range from unit-root tests to cointegration and error …
Persistent link: https://www.econbiz.de/10011109521
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Spurious regression under broken trend stationarity
Noriega, Antonio E.; Ventosa Santaulària, Daniel - Volkswirtschaftliche Fakultät, … - 2005
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...
Persistent link: https://www.econbiz.de/10011112271
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Stationarity of time series and the problem of spurious regression
Baumöhl, Eduard; Lyócsa, Štefan - Volkswirtschaftliche Fakultät, … - 2009
The goal of this paper was to introduce some general issues of non-stationarity for practitioners, students and …
Persistent link: https://www.econbiz.de/10008784968
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Spurious regression under broken trend stationarity
Ventosa-Santaularia, Daniel; Noriega, Antonio E. - Society for Computational Economics - SCE - 2005
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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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