search query: @author Phillips, P. C. B. / total: 7
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| Author: | Phillips, P. C. B. |
| Title: | New tools for understanding spurious regressions |
| Journal: | Econometrica
1998 : NOV, VOL. 66:6, p. 1299-1325 |
| Index terms: | ECONOMETRICS REGRESSION ANALYSIS |
| Freeterms: | LOEVE KARHUNEN REPRESENTATION NONSENSE CORRELATION |
| Language: | eng |
| Abstract: | This paper presents some new tools for analyzing spurious regressions. The theory utilizes the general representation of a stochastic process in terms of an orthonominal system and provides an extension of the Weierstrass theorem to include the approximation of continuous functions and stochastic processes by Wiener processes. The theory is applied to regression of stochastic trends on time polynominals, and regressions among independent random walks. Such regressions reproduce in part and in whole the underlying orthonormal representations. |
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