结构变化平稳arp过程的谬误回归分析-fallacy regression analysis of arp process with stable structural change.docxVIP

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结构变化平稳arp过程的谬误回归分析-fallacy regression analysis of arp process with stable structural change.docx

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结构变化平稳arp过程的谬误回归分析-fallacy regression analysis of arp process with stable structural change

AbstractWhen a pair of independent series are highly persistent, Granger and Newbold (1974) developed the idea that there is a spurious regression bias in a regression between these series. Spurious regression exists between not only non-stationary data but also stationary data. This paper studies spurious regressions of stationary AR(p) processes with structural breaks.In the paper, we use asymptotic distribution theory to deduce the asymptotic distribution of the regression coefficients and related statistics characteristics. As a result, we prove that regression coefficients and related statistics are significantly different from zero from the mathematical theory. In other words, this paper provides theoretical evidences about the phenomenon of spurious regressions between stationary AR(p) processes with structural breaks. As long as data generation process are highly persistent, it’s easy to appear the the phenomenon of spurious regressions between independent stationary AR(p) processes with structural breaks regardless of the forms of structural change. Moreover, Limit values of the regression coefficients and related statistics of independent stationary AR(p) processes with structural break in trend are the same to these with structural break in mean and trend. Structural break in trend is the dominant factor spurious regressions between stationary AR(p) processes with structural break in mean and trend.A series of Monte Carlo experiments provide proof that it does exist spurious regressions between independent stationary AR(p) processes with structural breaks. What’s more, the regression coefficients and related statistics tend to the theoretical limit values with the sample size increasing. In addition, we analyse the influence of the initial value, autoregressive coefficient and structural breakpoint position by monte carlo simulation method. The simulation results show that the initial value, autoregressivecoefficient , structural breakpoint position and