Random walks with drifts: Nonsense regression and spurious fixed-effect estimation

被引：75

作者：

Entorf, H

机构：

[1] Department of Economics, University of Mannheim, A5

来源：

JOURNAL OF ECONOMETRICS | 1997年 / 80卷 / 02期

关键词：

spurious regressions; fixed-effect models; drifts;

D O I：

10.1016/S0304-4076(97)00041-9

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

The paper analyses the regression of two independent random walks with drifts. Applying the nonsense regression results to panel data, it is shown that the convergence to pseudo true values also applies to the estimation of (spurious) fixed-effects models. Simulated evidence reveals potential interpretation problems in finite samples. (C) 1997 Elsevier Science S.A.

引用

页码：287 / 296

页数：10

共 15 条

[1] TESTING INTEGRATION AND COINTEGRATION - AN OVERVIEW [J].