if you regress log of agregate consumption on log of GDP, woul you like to
treat log GDP as fixed regressor? I guess not. Fixed regressor implies a
lot of strong properties which is not reasonable to assume in this case.
On Wed, 24 Oct 2001, David B wrote:
>
> > this seems to be rather strong statement. You can treat
> > regressors as non-stochastic if you have control over it. So, it seems to
> > me that the only case when you can treat regressors as fixed is when your
> > data is coming from some designed experiment.
>
> That is precisely what I wanted opinions about. It seems to me it is a
> philosophy of probability problem (to be pompous), which is overlooked in
> basic econometrics/statistics textbooks (or even more advanced one, I would
> say).
> Why would one be obliged to carefully test systematically for unit roots,
> since integrated process do not "really" exist ?
> Why couldn't we treat always the regressors as fixed, just keeping in mind
> that when they look like they are generated by an I(1) process, standard
> inference *could* be wrong ?
> Of course, I am aware that the theory of cointegration is *very* important,
> and that this simple question does question the importance it has taken.
>
> David B
>
>
>
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