Spurious regression between I(1) processes with infinite variance errors

Authors
Tsay, WJ
Citation
Wj. Tsay, Spurious regression between I(1) processes with infinite variance errors, ECONOMET TH, 15(4), 1999, pp. 622-628
Citations number
13
Categorie Soggetti
Economics
Journal title
ECONOMETRIC THEORY
ISSN journal
02664666 → ACNP
Volume
15
Issue
4
Year of publication
1999
Pages
622 - 628
Database
ISI
SICI code
0266-4666(199908)15:4<622:SRBIPW>2.0.ZU;2-S
Abstract
This paper considers spurious regression between integrated processes with stable errors. Our results show that the t-ratios diverge at the rate of ro ot T, which is identical to what Phillips (1986 Journal of Econometrics 33, 311-340) has obtained for the Gaussian case. Therefore, it is the long mem ory in the dependent variable and regressors, instead of the moment conditi ons of the error terms, that causes the spurious regression.