Which of these is not a consequence of working with non-stationarity variables? A) Shocks will be persistent B) Unjustifiably high R² C) The standard assumptions for asymptotic analysis will be invalid D) It leads to data mining

Question

Quizplus · Accepted Answer

Non-stationarity can lead to persistent shocks, high R², and invalid asymptotic assumptions, but it does not inherently lead to data mining, which is a separate issue related to overfitting and searching for patterns without theoretical basis.

Which of These Is Not a Consequence of Working with Non-Stationarity