>
> >In the case of Y and X being two independent random walks, the mean of
> >(XX)(-1)X'Y can be calculated using Wiener distribution theory however, and
> >it is not zero (it looks very bad). The t-stat for slope is not zero either.
> >The variance of both slope estimator and t-stats are much higher than
> >standard theory forecast, and, what is even worse, do not decrease as sample
> >size increase.
>
> If they are independent random walks with mean 0, or even if
> E(Y|X)=0, the mean of this will have to be 0.
>
the problem is that you cannot test for this using standard regression
diagnostic because t-statistic diverges to infinity as sample size
increases, so you have to adjust your methods.
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