Spurious instrumental variables

DOI10.1080/03610920902948269MaRDI QIDQ3585297zbMATH OpenOpenAlexFDO

Authors Daniel Ventosa-Santaulària

Publication date 19 August 2010

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://mpra.ub.uni-muenchen.de/58779/1/MPRA_paper_58779.pdf

zbMATH Keywords

broken-trend stationarityIV estimatorspurious regressionunit root

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

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Cites work

• scientific article; zbMATH DE number 48316 (Why is no real title available?)
• scientific article; zbMATH DE number 777596 (Why is no real title available?)
• Random walks with drifts: Nonsense regression and spurious fixed-effect estimation
• Simple regressions with linear time trends
• Spurios regression theory with nonstationary fractionally integrated processes
• Spurious Regression Under Broken-Trend Stationarity
• SPURIOUS REGRESSIONS BETWEEN I(d) PROCESSES
• Spurious regressions with stationary processes around linear trends
• Statistical Inference in Instrumental Variables Regression with I(1) Processes
• Structural breaks with deterministic and stochastic trends
• Understanding spurious regressions in econometrics

Cited in

(1)

• The failure of orthogonality under nonstationarity: should we care about it?

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