Granger revisited: t values and the empirical OLS bias with stationary and non-stationary time series using Monte Carlo simulations

@article{Lizardi2020GrangerRT,
  title={Granger revisited: t values and the empirical OLS bias with stationary and non-stationary time series using Monte Carlo simulations},
  author={Carlos Guerrero de Lizardi},
  journal={Revista Mexicana de Econom{\'i}a y Finanzas},
  year={2020}
}
La realización de un análisis estadístico confiable se fundamenta en el reconocimiento de las características estadísticas de las series de tiempo en juego y de los supuestos probabilísticos subyacentes del modelo aplicado. Nuestro propósito es ilustrar este tipo de análisis utilizando algunas ideas de Granger. Nuestros resultados de Monte Carlo muestran que en presencia de series de tiempo estacionarias y no estacionarias, la inferencia basada en los mínimos cuadrados ordinarios puede ser enga… 
1 Citations

Figures and Tables from this paper

Discourse on Entrepreneurial Orientation in Hidalgo State, Mexico

Entrepreneurial orientation influences the development of organizations and the need to undertake it implies assuming certain risks for entrepreneurs who must respond to the constant dynamism of the

References

SHOWING 1-10 OF 49 REFERENCES

Estimation and inference in econometrics

A theme of the text is the use of artificial regressions for estimation, reference, and specification testing of nonlinear models, including diagnostic tests for parameter constancy, serial correlation, heteroscedasticity, and other types of mis-specification.

A Guide to Econometrics

The fourth edition of "A Guide to Econometrics" provides an overview of the subject and an intuitive feel for its concepts and techniques without the notation and technical detail often characteristic of econometric textbooks.

Spurious regressions in econometrics

Econometric Methods with Applications in Business and Economics

Nowadays applied work in business and economics requires a solid understanding of econometric methods to support decision-making. Combining a solid exposition of econometric methods with an

Consideration of Trends in Time Series

Even though the trend components of economic time series were among the first to be distinguished, even today the trend remains relatively little understood. As Phillips (2005) notes, no one

A Convergent T-Statistic in Spurious Regressions

This paper investigates the asymptotic properties of the t-statistic in spurious regressions when the bandwidth in the estimation of the heteroskedasticity and autocorrelation consistent (HAC)

An Introduction to Applied Econometrics: A Time Series Approach

PART 1: FOUNDATIONS Economics and Quantitative Economics Some Preliminaries An Introduction to Stationary and Non-Stationary Random Variables PART 2: ESTIMATION AND SIMULATION A Review of Estimation

Making Measuring Instruments

In the mid-nineteenth century, economists had many numbers but relatively few measurements; by the mid-twentieth century, they began to take for granted that they had measurements for most of the