Spurious regressions and residual-based tests for cointegration when regressors are cointegrated

DOI10.1016/0304-4076(94)90049-3zbMath0789.62094OpenAlexW1980572563MaRDI QIDQ1319001

V. Pereyra

Publication date: 16 June 1994

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

Full work available at URL: https://doi.org/10.1016/0304-4076(94)90049-3

zbMATH Keywords

asymptotic propertiesspurious regressionasymptotic null distributionsaugmented Dickey-Fuller testscointegrated regressionOLS estimatesresidual-based cointegration tests

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Linear regression; mixed models (62J05)

Related Items (4)

Nonsense regressions due to neglected time-varying means ⋮ Spurious regressions when stationary regressors are included ⋮ Durbin-Hausman tests for cointegration ⋮ Testing the null of stationarity for multiple time series

Cites Work

• Unnamed Item
• Understanding spurious regressions in econometrics
• Testing for cointegration using principal components methods
• Forecasting and testing in co-integrated systems
• Spurious regressions in econometrics
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Durbin-Hausman tests for cointegration

This page was built for publication: Spurious regressions and residual-based tests for cointegration when regressors are cointegrated