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NONSENSE REGRESSIONS BETWEEN INTEGRATED PROCESSES OF DIFFERENT ORDERS
Author(s) -
Marmol Francesc
Publication year - 1996
Publication title -
oxford bulletin of economics and statistics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.131
H-Index - 73
eISSN - 1468-0084
pISSN - 0305-9049
DOI - 10.1111/j.1468-0084.1996.mp58003006.x
Subject(s) - monte carlo method , series (stratigraphy) , nonsense , econometrics , linear regression , statistical physics , variables , mathematics , monte carlo integration , statistics , hybrid monte carlo , markov chain monte carlo , physics , chemistry , biology , paleontology , biochemistry , gene
Herein we develop an analytical study of the asymptotic distributions obtained when we run linear regressions in the levels of stochastically independent integrated time series when the orders of integration of the dependent and independent variables are different. These theoretical findings largely explain the Monte Carlo results recently reported in Banerjee et al . (1993).