Spurious nonlinear regressions in econometrics

被引：13

作者：

Lee, YS

Kim, TH

Newbold, P

机构：

[1] Univ Durham, Sch Business, Dept Econ & Finance, Durham, England

[2] Yonsei Univ, Dept Econ, Seoul 120749, South Korea

[3] Univ Nottingham, Sch Econ, Nottingham, England

来源：

ECONOMICS LETTERS | 2005年 / 87卷 / 03期

关键词：

spurious nonlinearity; random walk; nonlinear tests;

D O I：

10.1016/j.econlet.2004.10.016

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

In this paper we consider the situation where two independent random walks are used in various frequently employed nonlinear test and estimation procedures. We show analytically and by simulation that all nonlinear test and estimation procedures wrongly indicate that (i) the two independent random walks have a significant nonlinear relationship, and (ii) the spurious nonlinear relationship becomes stronger as the sample size approaches infinity. (c) 2005 Elsevier B.V. All rights reserved.

引用

页码：301 / 306

页数：6

共 8 条

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[2] Random walks with drifts: Nonsense regression and spurious fixed-effect estimation [J].