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dc.contributor.advisorDr. Daniel Ventosa-Santaulária
dc.creatorRamírez Vargas, Ricardo
dc.date.issued2017
dc.identifier157257.pdf
dc.identifier.urihttp://hdl.handle.net/11651/2447
dc.description.abstractSpurious regression under stationary processes exhibiting long memory was studied by Tsay and Chung (2000) [JoE 96, pp. 155-182] for a univariate model. We extend their findings for the multivariate linear regression and find that inference drawn from the latter is also spurious. Our results hold for any finite number of independent stationary fractionally integrated explanatory variables. It is shown that the t-statistics associated to the estimated parameters diverge if the processes underlying the dependent variable and the particular explanatory variable are sufficiently persistent. It is shown also that inference drawn from test statistics and goodness of fit measures, such as the Wald F statistic and the R2 can be contradictory in the sense that the test of joint significance may reject the null hypothesis if the underlying variables are strongly persistent, indicating incorrectly that at least one of the explanatory variables affects the dependent variable, whereas the latter always converges to zero, supporting the correct assertion that the variables used as regressors do not explain the variable used as regressand. Comprehensive finite sample evidence is consistent with our asymptotic results and shows that they hold even for small sample sizes such as 100 observations.
dc.formatapplication/PDF
dc.language.isoeng
dc.publisherEl Autor
dc.rightsCon fundamento en los artículos 21 y 27 de la Ley Federal del Derecho de Autor y como titular de los derechos moral y patrimonial, otorgo de manera gratuita y permanente al Centro de Investigación y Docencia Económicas, A.C. y a su Biblioteca autorización para que fije la obra en cualquier medio, incluido el electrónico, y la divulguen entre sus usuarios, profesores, estudiantes o terceras personas, sin que pueda percibir por tal divulgación una contraprestación.
dc.subject.lcshRegression analysis -- Mathematical models.
dc.subject.lcshMultivariate analysis.
dc.subject.lcshTime-series analysis.
dc.titleSpurious multivariate regressions under stationary fractionally integrated processes
dc.typeTesis de licenciatura
dc.accessrightsAcceso abierto
dc.recordIdentifier000157257
dc.rights.licenseCreative Commons Reconocimiento-NoComercial-SinObraDerivada 4.0 Internacional CC BY-NC-ND
thesis.degree.grantorCentro de Investigación y Docencia Económicas
thesis.degree.nameLicenciatura en Economía


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