Faculty of Economics and Business Administration Publications Database

Spurious Regressions When Stationary Regressors Are Included

Volume: 50
Number: 1
Pages: 25 - 31
Month: 1
ISSN-Print: 0165-1765
Year: 1996
Keywords: Unbalanced regressors; Integrated and stationary time series
Abstract: Spuriousregressions of I(1) variables without drift are analyzed when additional I(0) regressors are included. The asymptotic distributions of Phillips (Journal of Econometrics, 1986, 33, 311–340) are embedded in our results.