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Durham Research Online
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Spurious non-linear regressions in econometrics.

Lee, Y. and Kim, T. and Newbold, P. (2005) 'Spurious non-linear regressions in econometrics.', Economic letters., 87 (3). pp. 301-306.

Abstract

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.

Item Type:Article
Keywords:Spurious nonlinearity, Random walk, Nonlinear tests.
Full text:Full text not available from this repository.
Publisher Web site:http://dx.doi.org/10.1016/j.econlet.2004.10.016
Record Created:20 Feb 2009
Last Modified:08 Apr 2009 16:34

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