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Journal ArticleDOI

Random walks with drifts: Nonsense regression and spurious fixed-effect estimation

Horst Entorf
- 01 Oct 1997 - 
- Vol. 80, Iss: 2, pp 287-296
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TLDR
This paper analyzed the regression of two independent random walks with drifts and showed that the convergence to pseudo true values also applies to the estimation of (spurious) fixed-effects models.
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This article is published in Journal of Econometrics.The article was published on 1997-10-01. It has received 168 citations till now. The article focuses on the topics: Spurious relationship & Random walk.

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Citations
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Book

Econometric Analysis of Panel Data

TL;DR: In this article, the authors proposed a two-way error component regression model for estimating the likelihood of a particular item in a set of data points in a single-dimensional graph.
Book ChapterDOI

Fully modified OLS for heterogeneous cointegrated panels

TL;DR: In this paper, the authors used fully modified OLS principles to develop new methods for estimating and testing hypotheses for cointegrating vectors in dynamic panels in a manner that is consistent with the degree of cross sectional heterogeneity that has been permitted in recent panel unit root and panel cointegration studies.
Book ChapterDOI

Unit Roots and Cointegration in Panels

TL;DR: A review of the literature on unit roots and cointegration in panels where the time dimension (T) and the cross section dimension (N) are relatively large is provided in this paper.
Reference EntryDOI

The Environmental Kuznets Curve

TL;DR: The environmental Kuznets curve (EKC) as discussed by the authors is a hypothesized relationship between various indicators of environmental degradation and per capita income, and it is a commonly used metric for measuring the degree of degradation.
Journal ArticleDOI

The Evidence on Globalisation

TL;DR: In this article, the authors discuss the consequences of globalisation by surveying the empirical globalisation literature and find that globalisation has spurred economic growth, promoted gender equality and improved human rights.
References
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Book

Analysis of Panel Data

TL;DR: In this paper, the authors propose a homogeneity test for linear regression models (analysis of covariance) and show that linear regression with variable intercepts is more consistent than simple regression with simple intercepts.
Journal ArticleDOI

Spurious regressions in econometrics

TL;DR: In this paper, it is pointed out that it is very common to see reported in applied econometric literature time series regression equations with an apparently high degree of fit, as measured by the coefficient of multiple correlation R2 or the corrected coefficient R2, but with an extremely low value for the Durbin-Watson statistic.
Journal ArticleDOI

Trends and random walks in macroeconmic time series: Some evidence and implications

TL;DR: In this paper, the authors investigate whether macroeconomic time series are better characterized as stationary fluctuations around a deterministic trend or as non-stationary processes that have no tendency to return to the deterministic path, and conclude that macroeconomic models that focus on monetary disturbances as a source of purely transitory fluctuations may not be successful in explaining a large fraction of output variation.
Journal ArticleDOI

Convergence across States and Regions

TL;DR: In this paper, the authors use the neoclassical growth model as a framework to study convergence across the forty-eight contiguous U.S. states using data on personal income since 1840 and on gross state product since 1963.
Journal ArticleDOI

Trends and random walks in macroeconomic time series: Further evidence from a new approach

TL;DR: In this article, the authors present a summary of recent work on a new methodology to test for the presence of a unit root in univariate time series models, which is quite general.
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