It is shown that the usual t- and F-ratio test statistics do not possess limiting distributions in this context but actually diverge as the sample size T ↑∞. The limiting behavior of regression diagnostics such as the Durbin–Watson statistic, the coefficient of determination and the Box–...
1 Journal of Econometrics的论文 星级: 2 页 spurious long-horizon regression in econometrics 星级: 32 页 Journal of Econometrics, Phillips Understanding Spurious Regressions in Econometics金融学投资学研究报告 1 星级: 15 页 Journal of Econometrics, Phillips Understanding Spurious Regressions in Econ...
INECONOMETRICS C.W.J.GRANGER andP.NEWBOLD UniversityofNottingham,NottinghamNG7ZRD,England ReceivedMay1973,revisedversionreceivedDecember1973 1.Introduction Itisverycommon toseereportedinappliedeconometricliteraturetimeseries regressionequationswithanapparentlyhighdegreeoffit,asmeasuredbythe ...
If one trend type is treated as the other, with inappropriate preprocessing to achieve stationarity, regression results become unreliable, and the resulting models generally have poor forecasting ability, regardless of the in-sample fit. Econometrics Toolbox™ has several tests for the presence or ...
null[Journal of Econometrics Phillips] Understanding Spurious Regression in Econometrics 热度: SPSS Regressions 热度: Predictive_Regressions 热度: SPURIOUS NONLINEAR REGRESSIONS IN ECONOMETRICS Young-Sook Leea, a,Tae-Hwan Kimb and Paul Newboldb
If, however, a trending predictor is paired with a trending response, there is the possibility ofspurious regression, wheret-statistics and overall measures of fit become misleadingly "significant." That is, the statistical significance of relationships in the model do not accurately reflect the cau...
Some Excellent Readings Regression Modeling Strategies Financial Econometrics: From Basics to Advanced Modeling Techniques A Companion to Theoretical Econometrics Financial Econometrics: Problems, Models, and Methods Time Series Analysis
spurious regressionstochastic volatilitywild bootstrapThis paper studies robust inference in autoregression around a polynomial trend with stable autoregressive roots... KL Xu - 《Econometrics Journal》 被引量: 0发表: 2008年 Ratios: A short guide to confidence limits and proper use Appropriate methods ...
Mr Denard could look gentlemanly, smart in grey suits or his spurious colonel's uniform. 德纳尔先生穿着那灰色的军服或伪造的上校制服看起来就很雅致,而且酷毙了! 权威例句 Spurious Regressions in Economics Spurious regression in econometrics Spurious Regressions in Econometrics ...
ABSTRACT In recent research,Leybourne and Newbold(2003)have shown commonly employed tests of cointegration to exhibit spurious rejection when applied to independent unit root processes subject to breaks in either level or trend.In the present paper,this research is extended to consider thefinite-...