Spurious Regressions with Time-Series Data: Further Asymptotic Results |
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| Authors: | David E A Giles |
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| Institution: | 1. Department of Economics , University of Victoria , Victoria, British Columbia, Canada dgiles@uvic.ca |
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| Abstract: | A “spurious regression” is one in which the time-series variables are non stationary and independent. It is well known that in this context the OLS parameter estimates and the R 2 converge to functionals of Brownian motions, the “t-ratios” diverge in distribution, and the Durbin–Watson statistic converges in probability to zero. We derive corresponding results for some common tests for the normality and homoskedasticity of the errors in a spurious regression. |
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| Keywords: | Asymptotic theory Homoskedasticity Normality Spurious regression Unit roots |
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