Y. Lee
Spurious non-linear regressions in econometrics
Lee, Y.; Kim, T.; Newbold, P.
Authors
T. Kim
P. Newbold
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.
Citation
Lee, Y., Kim, T., & Newbold, P. (2005). Spurious non-linear regressions in econometrics. Economics Letters, 87(3), 301-306. https://doi.org/10.1016/j.econlet.2004.10.016
Journal Article Type | Article |
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Publication Date | Jun 1, 2005 |
Deposit Date | Feb 20, 2009 |
Journal | Economics Letters |
Print ISSN | 0165-1765 |
Publisher | Elsevier |
Peer Reviewed | Peer Reviewed |
Volume | 87 |
Issue | 3 |
Pages | 301-306 |
DOI | https://doi.org/10.1016/j.econlet.2004.10.016 |
Keywords | Spurious nonlinearity, Random walk, Nonlinear tests. |
Public URL | https://durham-repository.worktribe.com/output/1625218 |