Spurious Regression

Table 9

Orders in Probability: variables 𝑦_𝑡 and 𝑥_𝑡 both independently generated by DGP 4. The estimated specification is (2).

𝛼=𝑂𝑝(1)	𝑡𝛼=𝑂𝑝(𝑇^1/2)
𝛽=𝑂𝑝(𝑇^−1/2)	𝑡𝛽=𝑂𝑝(1)
𝛿=𝑂𝑝(1)	𝑡𝛿=𝑂𝑝(𝑇^1/2)