> >(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 Y = a + b*X + i.i.d. noise, X and Y can't be independent random walks.
> If the noise is not independent, then you need to account for that when
> computing the standard error.
>
> Radford Neal
y=a+bx+... is the equation that researcher is trying to fit, but the true
model is b=0.
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