Artikel
Polynomial regressions and nonsense inference
Polynomial specifications are widely used, not only in applied economics, but also in epidemiology, physics, political analysis and psychology, just to mention a few examples. In many cases, the data employed to estimate such specifications are time series that may exhibit stochastic nonstationary behavior. We extend Phillips' results (Phillips, P. Understanding spurious regressions in econometrics. J. Econom. 1986, 33, 311-340.) by proving that an inference drawn from polynomial specifications, under stochastic nonstationarity, is misleading unless the variables cointegrate. We use a generalized polynomial specification as a vehicle to study its asymptotic and finite-sample properties. Our results, therefore, lead to a call to be cautious whenever practitioners estimate polynomial regressions.
- Sprache
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Englisch
- Erschienen in
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Journal: Econometrics ; ISSN: 2225-1146 ; Volume: 1 ; Year: 2013 ; Issue: 3 ; Pages: 236-248 ; Basel: MDPI
- Klassifikation
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Wirtschaft
- Thema
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polynomial regression
misleading inference
integrated processes
- Ereignis
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Geistige Schöpfung
- (wer)
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Ventosa-Santaulària, Daniel
Rodríguez-Caballero, Carlos Vladimir
- Ereignis
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Veröffentlichung
- (wer)
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MDPI
- (wo)
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Basel
- (wann)
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2013
- DOI
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doi:10.3390/econometrics1030236
- Handle
- Letzte Aktualisierung
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10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Ventosa-Santaulària, Daniel
- Rodríguez-Caballero, Carlos Vladimir
- MDPI
Entstanden
- 2013
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