NONSENSE REGRESSIONS BETWEEN INTEGRATED PROCESSES OF DIFFERENT ORDERS
分析了当因变量和自变量的整合阶数不同时，对随机独立整合时间序列进行水平值线性回归所得到的渐近分布，并解释了Banerjee等人（1993）的蒙特卡洛结果。
Abstract Herein we develop an analytical study of the asymptotic distributions obtained when we run linear regressions in the levels of stochastically independent integrated time series when the orders of integration of the dependent and independent variables are different. These theoretical findings largely explain the Monte Carlo results recently reported in Banerjee et al . (1993).