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...

This paper analyzes whether the real exchange-rate of the Mexican peso/US dollar revert to a long-run equilibrium value, and whether this value is unique. We use a method for testing stationarity, that allows for an unknown number of structural breaks in the level of the series. Using a long...

Utilizing re-sampling. Methods, we present evidence on the rejection probabilities for difference-stationary and trend-stationary models for Mexico’s real and real per-capita annual gross domestic product. The trend stationary alternative allows for stationary fluctuations around a long-run...