关键词: 伪回归, 阈值自回归模型, 一致方差-协方差估计, Monte-Carlo模拟

Abstract: This paper studies that spurious regression exits when a pair of independent threshold regressive models is regressed according to standard OLS method, and it is independent of the sample size and various distribution of the error term. Through a set of Monte- Carlo simulations, this paper finds some evidence that there exits larger reject ratio under two-regime TAR models than under three-regime TAR models when two TAR regression models have the same persistence. It attributes to the estimator of standard error under two-regime TAR models, and the estimator of standard error has larger left-trail probability in two-regime TAR than in the three-regime TAR. As addition, when error term is TAR process, the Newey-West HAC consistent covariance estimate is not suitable.

Key words: Spurious regression, Threshold Autoregressive Model, Consistent covariance estimate, Monte-Carlo simulation