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Structural Spurious Regressions and A Hausman-type Cointegration Test

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Author Info
Chi-Young Choi (University of New Hampshire)
Ling Hu (Ohio State University)
Masao Ogaki (Ohio State University)

Additional information is available for the following registered author(s):

Abstract

This paper proposes two estimators based on asymptotic theory to estimate structural parameters with spurious regressions involving unit-root nonstationary variables. This approach motivates a Hausman-type test for the null hypothesis of cointegration for dynamic Ordinary Least Squares estimation using one of our estimators for spurious regressions. We apply our estimation and testing methods to four applications: (i) long-run money demand in the U.S.; (ii) long-run implications of the consumption-leisure choice; (iii) output convergence among industrial and developing countries; (iv) Purchasing Power Parity for traded and non-traded goods.

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File URL: http://rcer.econ.rochester.edu/RCERPAPERS/rcer_517.pdf
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Publisher Info
Paper provided by University of Rochester - Center for Economic Research (RCER) in its series RCER Working Papers with number 517.

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Length: 38 pages
Date of creation: May 2005
Date of revision:
Handle: RePEc:roc:rocher:517

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Postal: UNIVERSITY OF ROCHESTER, CENTER FOR ECONOMIC RESEARCH, DEPARTMENT OF ECONOMICS, HARKNESS 231 ROCHESTER NEW YORK 14627 U.S.A.

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Related research
Keywords: Spurious regression GLS correction method Dynamic regression Test for cointegration.

Find related papers by JEL classification:
C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - General
C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Statistical Simulation Methods

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  5. Masao Ogaki & Chi-Young Choi, 2001. "The Gauss-Markov Theorem and Spurious Regressions," Working Papers 01-13, Ohio State University, Department of Economics. [Downloadable!]
  6. Stock, James H & Watson, Mark W, 1993. "A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems," Econometrica, Econometric Society, vol. 61(4), pages 783-820, July. [Downloadable!] (restricted)
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  14. Kakkar, Vikas & Ogaki, Masao, 1999. "Real exchange rates and nontradables: A relative price approach," Journal of Empirical Finance, Elsevier, vol. 6(2), pages 193-215, April. [Downloadable!] (restricted)
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  16. repec:cup:etheor:v:10:y:1994:i:1:p:95-115 is not listed on IDEAS
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  21. Granger, C. W. J. & Newbold, P., 1974. "Spurious regressions in econometrics," Journal of Econometrics, Elsevier, vol. 2(2), pages 111-120, July. [Downloadable!] (restricted)
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