Add to ORKGSpurious 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
Nonstationarity is certainly one of the most dominant and enduring characteristics of macroeconomic ...
Whilst the existence of a unit root implies that current shocks have permanent effects, in the long ...
A spurious regression occurs when a pair of independent series, but with strong temporal properties,...
The spurious regression phenomenon in Least Squares occurs for a wide range of Data Generating Proce...
Spurious regression phenomenon has been recognized for a wide range of Data Generating Processes: dr...
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...
Summary In this paper we consider the situation where the deterministic components of the processes ...
This paper argues that trending time series can admit valid regression representations even when the...
The goal of this paper was to introduce some general issues of non-stationarity for practitioners, s...
We study the phenomenon of spurious regression between two random vari-ables, when the generating me...
In the time series analysis it often appears that two or more time series influence each other. When...
This paper provides an analytical study of spurious regressions involving the levels of economic tim...
Nonstationarity is certainly one of the most dominant and enduring characteristics of macroeconomic ...
Whilst the existence of a unit root implies that current shocks have permanent effects, in the long ...
A spurious regression occurs when a pair of independent series, but with strong temporal properties,...
The spurious regression phenomenon in Least Squares occurs for a wide range of Data Generating Proce...
Spurious regression phenomenon has been recognized for a wide range of Data Generating Processes: dr...
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...
Summary In this paper we consider the situation where the deterministic components of the processes ...
This paper argues that trending time series can admit valid regression representations even when the...
The goal of this paper was to introduce some general issues of non-stationarity for practitioners, s...
We study the phenomenon of spurious regression between two random vari-ables, when the generating me...
In the time series analysis it often appears that two or more time series influence each other. When...
This paper provides an analytical study of spurious regressions involving the levels of economic tim...
Nonstationarity is certainly one of the most dominant and enduring characteristics of macroeconomic ...
Whilst the existence of a unit root implies that current shocks have permanent effects, in the long ...
A spurious regression occurs when a pair of independent series, but with strong temporal properties,...