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Structural Spurious Regressions and A Hausman-type Cointegration Test

Author

Listed:
  • Chi-Young Choi

    (University of New Hampshire)

  • Ling Hu

    (Ohio State University)

  • Masao Ogaki

    (Ohio State University)

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.

Suggested Citation

  • Chi-Young Choi & Ling Hu & Masao Ogaki, 2005. "Structural Spurious Regressions and A Hausman-type Cointegration Test," RCER Working Papers 517, University of Rochester - Center for Economic Research (RCER).
    • Handle: RePEc:roc:rocher:517
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    File URL: http://rcer.econ.rochester.edu/RCERPAPERS/rcer_517.pdf
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    References listed on IDEAS

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    3. Shin-Ichi Nishiyama & Masao Ogaki, 2011. "The Cross-Euler Equation Approach in Estimating the Elasticity of Intertemporal Substitution for Food and Non-Food Consumption in Japan," TERG Discussion Papers 275, Graduate School of Economics and Management, Tohoku University.

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    More about this item

    Keywords

    Spurious regression; GLS correction method; Dynamic regression; Test for cointegration.;
    All these keywords.

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General

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