Nonstationary Regression Models with a Lagged Dependent Variable

Communications in Statistics - Theory and Methods, 25(7), 1489-1503 (1996)

Posted: 31 Mar 2013

See all articles by Robert A. Amano

Robert A. Amano

Bank of Canada & CREFE

Tony S. Wirjanto

University of Waterloo - School of Accounting and Finance; University of Waterloo, Department of Statistics & Actuarial Science

Date Written: 1996

Abstract

This paper studies regression models with a lagged dependent variable when both the dependent and independent variables are nonstationary, and the regression model is misspecified in some dimension. In particular, we discuss the limiting properties of least-squares estimates of the parameters in such regression models, and the limiting distributions of their test statistics. We show that the estimate of the lagged dependent variable tends to unity asymptotically independent of its true value, while the estimates of the independent variables tend to zero. The limiting distributions of their test statistics are shown to diverge with sample size.

Keywords: Time series, integration, cointegration, spurious regression, dynamic regression

Suggested Citation

Amano, Robert A. and Wirjanto, Tony S., Nonstationary Regression Models with a Lagged Dependent Variable (1996). Communications in Statistics - Theory and Methods, 25(7), 1489-1503 (1996). Available at SSRN: https://ssrn.com/abstract=2241883

Robert A. Amano

Bank of Canada & CREFE ( email )

234 Wellington Street
Ottawa, Ontario K1A 0G9
Canada
613-782-8827 (Phone)
613-782-7163 (Fax)

Tony S. Wirjanto (Contact Author)

University of Waterloo - School of Accounting and Finance ( email )

200 University Avenue West
Waterloo, Ontario N2L 3G1
Canada
519-888-4567 x35210 (Phone)

HOME PAGE: http://https://uwaterloo.ca/statistics-and-actuarial-science/people-profiles/tony-wirjanto

University of Waterloo, Department of Statistics & Actuarial Science ( email )

200 University Avenue West
Waterloo, Ontario N2L 3G1
Canada
519-888-4567 x35210 (Phone)
519-746-1875 (Fax)

HOME PAGE: http://math.uwaterloo.ca/statistics-and-actuarial-science/people-profiles/tony-wirjanto

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