A CONVERGENT t-STATISTIC IN SPURIOUS REGRESSIONS
研究了当HAC标准误的带宽与样本量成比例时，虚假回归中t统计量的渐近性质，发现其收敛到非退化分布，为理解虚假回归提供了新视角。
This paper investigates the asymptotic properties of the t-statistic in spurious regressions when the bandwidth in the estimation of the heteroskedasticity and autocorrelation consistent (HAC) standard error is set proportional to the sample size. Using autocovariances of large lags, the so-defined HAC estimator is capable of capturing the high persistence of the regressor and regression residuals. It is shown that the resulting t-statistic converges to a nondegenerate limiting distribution for all cases of spurious regressions considered in the literature. This finding sheds some new light on the nature of spurious regressions.I am very grateful to Bruce Hansen and two anonymous referees for helpful comments and suggestions. All remaining errors and omissions are mine alone.