"Radford Neal" <[EMAIL PROTECTED]>: >> In any case, the original poster explicitly claimed that regression >> with an explanatory variable that was generated by a non-stationary >> process was invalid even if the residuals of the regression are >> independent. I claim that this is not true.
David B <[EMAIL PROTECTED]> wrote: >Since i am not an expert in cointegration, I cannot prove it, sorry. >However, here is a quote from A. Banerjee et al.,"Cointegration, >error-correction, and the econometric analysis of non stationary data", >Oxford university press, p.167 : > >"The importance of the later point follows from the observation that, even >when the regressand (e.g. y(t)) and the regressor (e.g. x(t)) are both >integrated of order one and are cointegrated, the t-statistics on the >coefficient of >x(t) still has a non standard distribution which makes ordinary t and normal >tables unusable for purposes of inferences" > >The regression equation with iid errors implies cointegration of the two >series. Yes, but not vice versa. So the quoted passage may be referring to a more general case. You could look at section 8.2, entitled "Ordinary least squares under more general conditions", of Time Series Analysis, by J. D. Hamilton. Section 8.3 might be of interest too. Radford Neal ---------------------------------------------------------------------------- Radford M. Neal [EMAIL PROTECTED] Dept. of Statistics and Dept. of Computer Science [EMAIL PROTECTED] University of Toronto http://www.cs.utoronto.ca/~radford ---------------------------------------------------------------------------- ================================================================= Instructions for joining and leaving this list and remarks about the problem of INAPPROPRIATE MESSAGES are available at http://jse.stat.ncsu.edu/ =================================================================
