Spurious Regression

Table 7

Orders in Probability: variables 𝑦_𝑡 and 𝑥_𝑡 both independently generated by DGP 11. The variables are integrated of the same order.

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