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Spurious Regression-An Example

Spurious Regression-An Example. Data Generation Process. new; format /m1 /rd 9,3; apha=3; beta=1; T=100; Y=zeros(T,1); X=zeros(T,1); e1=Rndn(T,1); e2=Rndn(T,1); @ Data Generation Process @ Y[1,1]=0; X[1,1]=0; i=2; do until i>T; Y[i,1]=apha+beta*Y[i-1,1]+4*e1[i,1];

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Spurious Regression-An Example

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  1. Spurious Regression-An Example

  2. Data Generation Process • new; • format /m1 /rd 9,3; • apha=3; beta=1; • T=100; • Y=zeros(T,1); • X=zeros(T,1); • e1=Rndn(T,1); • e2=Rndn(T,1); • @ Data Generation Process @ • Y[1,1]=0; X[1,1]=0; • i=2; • do until i>T; • Y[i,1]=apha+beta*Y[i-1,1]+4*e1[i,1]; • X[i,1]=apha+beta*X[i-1,1]+2*e2[i,1];

  3. i=i+1; • endo; • Output file=d:\Enclass\Spus\level.out reset; • Y~X; • Output off; • Output file=d:\Enclass\Spus\Diff.out reset; • (Y[2:100,1]-Y[1:99,1])~(X[2:100,1]-X[1:99,1]); • Output off;

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