PITFALLS IN CROSS‐SECTION STUDIES WITH INTEGRATED REGRESSORS: A SURVEY AND NEW DEVELOPMENTS
综述了横截面研究中因变量平稳而回归元非平稳时可能出现的伪显著问题，提出通过寻找相关平稳变量（如一阶差分或分类变量）来解决，并给出了金融领域的应用。
Abstract In cross‐section studies, if the dependent variable is I (0) but the regressor is I (1), the true slope must be zero in the resulting “unbalanced regression.” A spuriously significant relationship may be found in large cross‐sections, however, if the integrated regressor is related to a stationary variable that enters the DGP but is omitted from the regression. The solution is to search for the related stationary variable, in some cases the first difference of the integrated regressor, in other cases, a categorical variable that can take on limited number of values which depend on the integrated variable. We present an extensive survey, new developments, and applications particularly in finance.