Which of the following are consequences of using non-stationary data in regressions?
(I) Shocks will be persistent
(II) It can lead to spurious regressions
(III) t-ratios will not follow a t-distribution
(IV) F-Statistic will not follow an F-distribution
A) I only
B) I and II only
C) I, II and III only
D) I, II, III and IV

Question

Quizplus · Accepted Answer

Using non-stationary data in regressions can lead to persistent shocks, spurious regressions, and distortions in statistical tests, meaning t-ratios and F-Statistics will not follow their expected distributions.

Which of the Following Are Consequences of Using Non-Stationary Data