NONSENSE REGRESSIONS BETWEEN INTEGRATED PROCESSES OF DIFFERENT ORDERS

Authors
MARMOL F
Citation
F. Marmol, NONSENSE REGRESSIONS BETWEEN INTEGRATED PROCESSES OF DIFFERENT ORDERS, Oxford bulletin of economics and statistics, 58(3), 1996, pp. 525
Citations number
17
Categorie Soggetti
Social Sciences, Mathematical Methods",Economics,"Mathematical, Methods, Social Sciences","Statistic & Probability","Statistic & Probability
Journal title
Oxford bulletin of economics and statistics → ACNP
ISSN journal
03059049
Volume
58
Issue
3
Year of publication
1996
Database
ISI
SICI code
0305-9049(1996)58:3<525:NRBIPO>2.0.ZU;2-0
Abstract
Herein we develop an analytical study of the asymptotic distributions obtained when we run linear regressions in the levels of stochasticall y independent integrated time series when the orders of integration of the dependent and independent variables are different. These theoreti cal findings largely explain the Monte Carlo results recently reported in Banerjee et al. (1993).