> this seems to be rather strong statement. You can treat
> regressors as non-stochastic if you have control over it. So, it seems to
> me that the only case when you can treat regressors as fixed is when your
> data is coming from some designed experiment.
That is precisely what I wanted opinions about. It seems to me it is a
philosophy of probability problem (to be pompous), which is overlooked in
basic econometrics/statistics textbooks (or even more advanced one, I would
say).
Why would one be obliged to carefully test systematically for unit roots,
since integrated process do not "really" exist ?
Why couldn't we treat always the regressors as fixed, just keeping in mind
that when they look like they are generated by an I(1) process, standard
inference *could* be wrong ?
Of course, I am aware that the theory of cointegration is *very* important,
and that this simple question does question the importance it has taken.
David B
=================================================================
Instructions for joining and leaving this list and remarks about
the problem of INAPPROPRIATE MESSAGES are available at
http://jse.stat.ncsu.edu/
=================================================================
