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A simple solution for spurious regressions
Authors:Daniel Ventosa-Santaulària  Antonio E Noriega
Institution:1. Centro de Investigación y Docencia Económicas, División de Economía, Del. álvaro Obregón, Distrito Federal, Mexicodaniel.ventosa@cide.edu;3. Banco de México, Distrito Federal, Mexico
Abstract:ABSTRACT

The literature on spurious regressions has found that the t-statistic for testing the null of no relationship between two independent variables diverges asymptotically under a wide variety of non stationary data-generating processes for the dependent and explanatory variables. This paper introduces a simple method which guarantees convergence of this t-statistic to a pivotal limit distribution, thus allowing asymptotic inference. This method can be used to distinguish a genuine relationship from a spurious one among integrated processes. We apply the proposed procedure to several pairs of apparently independent integrated variables, and find that our procedure does not find (spurious) significant relationships.
Keywords:Cointegration  Detrending  Integrated process  Monte Carlo experiments  Spurious regression  
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