"Radford Neal" <[EMAIL PROTECTED]> a �crit dans le message news:
[EMAIL PROTECTED]
> Before we can attempt to resolve this paradox for you, you'll have to
> state more precisely what your definition is of "an integrated
> process", and in what sense you think using a variable generated by
> such a process as an explanatory variable in a regression is "not valid".
> Quoting from whatever source claimed that would be best.
Integrated process : process which is not weakly stationary but can be made
so by differencing it. A random walk is an integrated process, but the
reverse may not be true.
> There is certainly nothing wrong with using standard regression when
> an explanatory variable is randomly generated, from whatever sort of
> stochastic process you please, as long as the regression residuals are
> independent
If the explanatory variable is generated by an integrated process, it won't
work, even if the error term is an iid process.
However, what I think, is that since it is impossible to be certain that the
explanatory variable is generated by an integrated process, and since you
can always consider the explanatory variable as non stochastic, standard
regression procedures may always apply nevertheless.
So you can always use standard regression procedures even when there could
be some evidence of non-stationarity in the explanatory variable, if you
feel like it.
David B
=================================================================
Instructions for joining and leaving this list and remarks about
the problem of INAPPROPRIATE MESSAGES are available at
http://jse.stat.ncsu.edu/
=================================================================
