Spurious non-linear regressions in econometrics
(2005)
Journal Article
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
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 wron... Read More about Spurious non-linear regressions in econometrics.