Pitfalls in Cross-Section Studies with integrated Regressors: Survey and New Developments
| Autor: | Richard J. Sweeney, Stelios Bekiros, Bo Sjö |
|---|---|
| Jazyk: | angličtina |
| Rok vydání: | 2018 |
| Předmět: |
Economics and Econometrics
Economics media_common.quotation_subject Unit-root tests 01 natural sciences 010104 statistics & probability Cross section (physics) Stock appreciation Panel-data 0502 economics and business Econometrics Unit roots 0101 mathematics Nationalekonomi Survey Categorical variable 050205 econometrics media_common Variables Earnings Cointegration 05 social sciences Categorical variables Unbalanced regressions Regression Zero (linguistics) Returns Panel data |
| Popis: | First published: 08 March 2018 In cross-section studies, if the dependent variable is I(0) but the regressor is I(1), the true slope must be zero in the resulting unbalanced regression. A spuriously significant relationship may be found in large cross-sections, however, if the integrated regressor is related to a stationary variable that enters the DGP but is omitted from the regression. The solution is to search for the related stationary variable, in some cases the first difference of the integrated regressor, in other cases, a categorical variable that can take on limited number of values which depend on the integrated variable. We present an extensive survey, new developments, and applications particularly in finance. EU Horizon 2020 research and innovation programme under the MS-C grant [656136] |
| Databáze: | OpenAIRE |
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