Understanding spurious regressions in econometrics (Q1082027): Difference between revisions

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Latest revision as of 15:21, 17 June 2024

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Understanding spurious regressions in econometrics
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    Understanding spurious regressions in econometrics (English)
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    1986
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    Regression equations which relate two or more time series represented by integrated random processes of the ARIMA type, frequently have \(R^ 2\) yet display highly autocorrelated residuals indicated by very low Durban- Watson statistics. In such situations the usual signficance tests on the regression coefficients are very misleading. The present paper develops an asymptotic theory for such regressions, which explains as a special case the spurious regressions where the usual t-ratio significance test is shown to diverge as the sample size gets infinitely large. This asymptotic theory is also extended to multiple regressions where the variables are generated by a general vector integrated process.
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    cointegrating regressions
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    F-ratio test
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    coefficient of determination
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    Box-Pierce statistic
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    regression diagnostics
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    integrated random processes
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    ARIMA
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    autocorrelated residuals
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    asymptotic theory
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    spurious regressions
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    t-ratio significance test
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    multiple regressions
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    vector integrated process
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