[伪回归][ 蒙特卡罗]席 珍1，沈 民2:EViews中模拟伪回归的设计与实现-经管之家官网！

EViews中模拟伪回归的设计与实现
席 珍1，沈 民2
(1.重庆邮电大学通信与信息工程学院, 重庆市 400065；2. 重庆工商大学, 重庆市 400067)
摘要: 介绍了采用Monte Calor模拟伪回归的基本原理和步骤，利用EViews设计了模拟伪回归、伪回归与单整阶数关系和伪回归与样本大小关系的3个模拟程序，实现了关于伪回归的Monte Calor模拟，Monte Calor模拟导出的“用非平稳时间序列拟合回归将导致错误的虚假的回归关系”的结论也与理论分析相一致。
关键词: 伪回归; 伪相关；模拟; 蒙特卡罗; 计量经济学; EViews
中图法分类号: TP391.9　　　 文献标识码: A
The Simulation of Spurious Regression in EViews
Xi Zhen1, Shen Min2,
(1. College of Communication and Information Engineering , Chongqing University of Posts and Telecommunications, Chongqing 400065,P.R.China；2. Chongqing Technology and Business University, Chongqing 400067,P.R.China)
Abstract: This paper describes the basic principles and steps to simulate Spurious Regression by Monte Calor method. Through 3 programs (one for modeling the nomination spurious regression, one for indicating the relationship between spurious regression and the orders of integration and one for indicating the relationship between spurious regression and the sample size)running in EViews, it realizes the simulation of spurious regression under the guidance of Monte Calor method. Through this simulation the same conclusion with the theoretical analysis comes out, that is "The regression relationships estimated from non-stationary time serieses are spurious and mistake".
Key words: Spurious Regression; Spurious Correlation；Simulation; Monte Calor; Econometrics; EViews
2008-9-16