Mark Stater, Christopher Hoag, INCLUDING THE INSTRUMENTS IN THE REGRESSION IS THE HAUSMAN TEST, Annals of Economics and Statistics, No. 152 (December 2023), pp. 43-64 ...

This paper considers spurious regression between integrated processes with stable errors. Our results show that the t-ratios diverge at the rate of √T, which is identical to what Phillips (1986, ...

The approach is both formal, as the course makes extensive use of econometric theorems and techniques, and solidly grounded in intuition, as it provides numerous examples of tests of real-life ...