Spurious Regression

Table 3

Orders in probability: variables 𝑦_𝑡 and 𝑥_𝑡 both independently generated by DGP 9. Both variables are integrated of the same order.

𝛽=𝑂𝑝(1)	𝛼=𝑂𝑝(𝑇^1/2−𝑑)	𝑅^2=𝑂𝑝(1)
𝑡𝛽=𝑂𝑝(𝑇^1/2)	𝑡𝛼=𝑂𝑝(𝑇^1/2)	𝒟𝒲=𝑂𝑝(𝑇^−2)