Spurious regression phenomenon has been recognized for a wide range of Data Generating Processes: driftless unit roots, unit roots with drift, long memory, trend and broken-trend stationarity, etc. The usual framework is Ordinary Least Squares. We show that the spurious phenomenon also occurs in Instrumental Variables estimation when using non-stationary variables, whether the non-stationarity component is stochastic or deterministic. Finite sample evidence supports the asymptotic results
Economic models often imply that certain variables are cointegrated. However, tests often fail to re...
A spurious regression occurs when a pair of independent series, but with strong temporal properties,...
Instrumental variables estimation is classically employed to avoid simultaneous equations bias in a ...
Spurious regression phenomenon has been recognized for a wide range of Data Generating Processes: dr...
The spurious regression phenomenon in Least Squares occurs for a wide range of Data Generating Proce...
This paper analyses the asymptotic and finite sample implications of different types of nonstationar...
This paper analyses the asymptotic and finite sample implications of different types of nonstationar...
This paper analyses the asymptotic and finite sample implications of a mixed nonstationary behavior ...
We study the phenomenon of spurious regression between two random variables,when the generating mech...
We study the phenomenon of spurious regression between two random vari-ables, when the generating me...
Summary In this paper we consider the situation where the deterministic components of the processes ...
The goal of this paper was to introduce some general issues of non-stationarity for practitioners, s...
Regressions of two independent time senes are considered. The variables are covariance stationary bu...
It is well-known that a linear regression among the levels of independent highly persistent processe...
Economic models often imply that certain variables are cointegrated. However, tests often fail to re...
Economic models often imply that certain variables are cointegrated. However, tests often fail to re...
A spurious regression occurs when a pair of independent series, but with strong temporal properties,...
Instrumental variables estimation is classically employed to avoid simultaneous equations bias in a ...
Spurious regression phenomenon has been recognized for a wide range of Data Generating Processes: dr...
The spurious regression phenomenon in Least Squares occurs for a wide range of Data Generating Proce...
This paper analyses the asymptotic and finite sample implications of different types of nonstationar...
This paper analyses the asymptotic and finite sample implications of different types of nonstationar...
This paper analyses the asymptotic and finite sample implications of a mixed nonstationary behavior ...
We study the phenomenon of spurious regression between two random variables,when the generating mech...
We study the phenomenon of spurious regression between two random vari-ables, when the generating me...
Summary In this paper we consider the situation where the deterministic components of the processes ...
The goal of this paper was to introduce some general issues of non-stationarity for practitioners, s...
Regressions of two independent time senes are considered. The variables are covariance stationary bu...
It is well-known that a linear regression among the levels of independent highly persistent processe...
Economic models often imply that certain variables are cointegrated. However, tests often fail to re...
Economic models often imply that certain variables are cointegrated. However, tests often fail to re...
A spurious regression occurs when a pair of independent series, but with strong temporal properties,...
Instrumental variables estimation is classically employed to avoid simultaneous equations bias in a ...
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