Spurious regressions and residual-based tests for cointegration when regressors are cointegrated
Spurious regressions and residual-based tests for cointegration when regressors are cointegrated
复制标题
回归变量协整时的虚假回归和基于残差的协整检验
DOI：
10.1016/0304-4076(94)90049-3
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发表时间：
1994
影响因子：
6.3
通讯作者：
In Choi
中科院分区：
文献类型：
--
作者：
In Choi
我们研究了一个带有协整回归量的伪回归。报告了OLS估计和其他常规统计量的渐近性质。利用这些结果，我们分析了基于残差的协整检验（如Phillips' Ž∝和增广Dickey-Fuller （ADF）检验）在回归量协整时的渐近零分布。
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' Ž∝and the augmented Dickey–Fuller (ADF) tests, when regressors are cointegrated.