Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/83756 
Erscheinungsjahr: 
2011
Schriftenreihe/Nr.: 
Working Papers No. 2011-05
Verlag: 
Banco de México, Ciudad de México
Zusammenfassung (übersetzt): 
It has been found that the t-statistic for testing the null of no relationship between two independent variables diverges asymptotically under a wide variety of nonstationary data generating processes. This paper introduces a simple method which guarantees convergence of this t-statistic to a pivotal limit distribution, when there are drifts in the integrated processes generating the data, thus allowing asymptotic inference. This method can be used to distinguish a genuine relationship from a spurious one among integrated (I(1) and I(2)) processes. Simulation experiments show that the test has good properties in small samples. When applying the proposed procedure to real data (including the marriages and mortality data of Yule), we do not find (spurious) significant relationships between the variables.
Schlagwörter: 
Spurious Regression
Integrated Process
Detrending
Asymptotic Theory
Cointegration
Monte Carlo Experiments
JEL: 
C12
C15
C22
C46
Dokumentart: 
Working Paper
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