Autoregressive Transformations in Cointegrated Regressions
证明，对协整回归应用标准自相关修正可能导致错误的差分，使估计参数与原关系无关，并通过模拟和实证例子展示这一现象。
Standard autocorrelation corrections applied to cointegrating regressions can lead to erroneous first-differencing. Such outcomes are shown to be possible under a range of environments, including cases with autocorrelation coefficients substantially less than 1. First-differencing of a cointegrating regression results in estimates that may bear little relation to the parameters in the original untransformed relation, resulting in misinterpretation of the parameter estimates. These results are proved analytically and demonstrated with simulations and empirical examples. © 1997 by the President and Fellows of Harvard College and the Massachusetts Institute of Technology