Lee, Y. and Kim, T. and Newbold, P. (2005) 'Spurious non-linear regressions in econometrics.', Economic letters., 87 (3). pp. 301-306.
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.
|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|
|Social bookmarking:||Export: EndNote, Zotero | BibTex|
|Usage statistics||Look up in GoogleScholar | Find in a UK Library|