SPURIOUS REGRESSION BETWEEN I(1) PROCESSES WITH INFINITE VARIANCE ERRORS
研究了具有稳定误差的积分过程之间的伪回归问题，发现t统计量以√T速率发散，表明伪回归由因变量和自变量的长记忆性引起，而非误差项的矩条件。
This paper considers spurious regression between integrated processes with stable errors. Our results show that the t -ratios diverge at the rate of √T, which is identical to what Phillips (1986, Journal of Econometrics 33, 311–340) has obtained for the Gaussian case. Therefore, it is the long memory in the dependent variable and regressors, instead of the moment conditions of the error terms, that causes the spurious regression.