Nonsense Regressions in Econometrics, I(1) with drift vs. Trend Stationary(Dedicated to Professor Hideo Watanabe in Appreciation of His Many Years of Service)

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Title
Nonsense Regressions in Econometrics, I(1) with drift vs. Trend Stationary(Dedicated to Professor Hideo Watanabe in Appreciation of His Many Years of Service)
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Description

論説

In this paper we consider the spurious or nonsense regression phenomenon where the DGPs of the regressor and the regressand are I(1) with drift vs. trend stationary and I(0) vs. I(1) with drift, and all of these patterns have first order autoregressive errors. We derive the asymptotic distributions or probability limits of the OLS estimator, the conventional significance t test, R2 and DW statistics. In these cases it is found that the spurious or nonsense regression phenomenon occurs and we examine the effect of drifts and AR(1) coefficients of the errors of regressor or regressand to the asymptotic distributions of the OLS estimator and the associated test statistics.

Author
著者 久松 博之
著者(ヨミ) ヒサマツ ヒロユキ
著者(別表記) Hisamatsu Hiroyuki
Publication Title
香川大学経済論叢
Volume
80
Issue
2
Start Page
127
End Page
142
Publisher
香川大学経済研究所
Published Date
200709
ISSN
0389-3030
NCID
AN00038281
Resource Type
Departmental Bulletin Paper
Language
eng
Rights
本文データはNIIにおいて電子化したものである
Text Version
publisher
Set
香川大学
Copyright (C) 2009 Kagawa University All rights reserved.