The series 'y' is not explosive in a pure AR(1) regression.
It becomes explosive only when the variables 'x' and 'z' are added
to the right-hand side.
Search found 2 matches
- Mon Apr 09, 2012 2:02 am
- Forum: Econometric Discussions
- Topic: regression of nonstationary time series
- Replies: 2
- Views: 4077
- Mon Mar 26, 2012 9:04 am
- Forum: Econometric Discussions
- Topic: regression of nonstationary time series
- Replies: 2
- Views: 4077
regression of nonstationary time series
Hi All i regressed a nonstationary time series y and got a result as follows y = 1.006 y(-1) + 0.003 x - 0.002 z + e y includes a unit root. Then, is the regression totally useless? For me, the coefficients seem 'not spurious' at all. And i am curious whether the AR coefficient sometime exceed one a...