SPURIOUS REGRESSIONS AND RESIDUAL-BASED TESTS FOR COINTEGRATION WHEN REGRESSORS ARE COINTEGRATED

被引：7

作者：

CHOI, I

机构：

[1] The Ohio State University, Columbus

来源：

JOURNAL OF ECONOMETRICS | 1994年 / 60卷 / 1-2期

关键词：

SPURIOUS REGRESSION; COINTEGRATED REGRESSORS; RESIDUAL-BASED TESTS FOR COINTEGRATION;

D O I：

10.1016/0304-4076(94)90049-3

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We study a spurious regression with cointegrated regressors. Asymptotic properties of the OLS estimates and other conventional statistics are reported. Using these results, we analyze the asymptotic null distributions of such residual-based cointegration tests as Phillips' Z(alpha) and the augmented Dickey-Fuller (ADF) tests, when regressors are cointegrated.

引用

页码：313 / 320

页数：8

共 12 条

[1]

CHOI I, 1991, IN PRESS ECONOMETRIC

[2]

CHOI I, 1990, UNPUB DURBIN HAUSMAN

[3] FORECASTING AND TESTING IN CO-INTEGRATED SYSTEMS [J].