Robust estimation for structural spurious regressions and a Hausman-type cointegration test

DOI10.1016/J.JECONOM.2007.06.003MaRDI QIDQ290961zbMATH OpenOpenAlexFDO

Authors Chi-Young Choi, Ling Hu, Masao Ogaki

Publication date 3 June 2016

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jeconom.2007.06.003

zbMATH Keywords

spurious regressiondynamic regressionGLS correction methodtest for cointegration

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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Cites work

• A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems
• A cointegration approach to estimating preference parameters
• Alternative Tests of Independence between Stochastic Regressors and Disturbances
• An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
• Asymptotic Equivalence of Ordinary Least Squares and Generalized Least Squares in Regressions With Integrated Regressors
• Asymptotic Properties of Residual Based Tests for Cointegration
• Errors in Variables
• LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
• New Tools for Understanding Spurious Regressions
• Specification Tests in Econometrics
• Spurious Periodicity in Inappropriately Detrended Time Series
• Spurious regressions in econometrics
• The functional central limit theorem and weak convergence to stochastic integrals. I: Weakly dependent processes
• The middle class consensus and economic development
• Trends versus Random Walks in Time Series Analysis
• Understanding spurious regressions in econometrics

Cited in

(11)

• Inferential theory for heterogeneity and cointegration in large panels
• Testing for spurious and cointegrated regressions: A wavelet approach
• Estimation and inference in time series with omitted \(I(1)\) variables
• Robust estimation and inference for threshold models with integrated regressors
• Spurious functional-coefficient regression models and robust inference with marginal integration
• Moment ratio estimation of autoregressive/unit root parameters and autocorrelation-consistent standard errors
• Consistent estimator of nonparametric structural spurious regression model for high frequency data
• On the asymptotic \(t\)-test for large nonstationary panel models
• Robust inference for spurious regressions and cointegrations involving processes moderately deviated from a unit root
• Spurious regression due to neglected of non-stationary volatility
• A simple solution of the spurious regression problem

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