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    Usman Bin Sultan
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    If you -nd a very high r 2 and a very low durbin-watson value, you usually face a regression where unit roots should b e taken into account. I usually consider any rep orted time series regression with r 2 co e+-cientsabove (say) with extreme suspicion. If you test and -nd unit roots, then you can get standard consistent estimators by running the regression C / yt = (r) 0 + (

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    Cointegration frist

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    If you -nd a very high r 2 and a very low durbin-watson value, you usually face a regression where unit roots should b e taken into account. I usually consider any rep orted time series regression with r 2 co e+-cientsabove (say) with extreme suspicion. If you test and -nd unit roots, then you can get standard consistent estimators by running the regression C / yt = (r) 0 + (

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    7 views1 page

    Cointegration Frist

    Uploaded by

    Usman Bin Sultan
    If you -nd a very high r 2 and a very low durbin-watson value, you usually face a regression where unit roots should b e taken into account. I usually consider any rep orted time series regression with r 2 co e+-cientsabove (say) with extreme suspicion. If you test and -nd unit roots, then you can get standard consistent estimators by running the regression C / yt = (r) 0 + (

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    Attribution Non-Commercial (BY-NC)
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    The problem do es reveal itself in typical OLS regression output though - if you nd a very high R 2 and a very low

    Durbin-Watson value, you usually face a regression where unit roots should b e taken into account. I usually consider any rep orted time series regression with R 2 co ecientsabove (say) .95 with extreme suspicion. Of course, if you test and nd unit roots, then you can get standard consistent estimators by running the regression yt = 0 + 1 x t + e t ; (2) since you now regress a stationary variable on a stationary variable, and the classical statistical theory applies.

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