<?xml version="1.0" encoding="ISO-8859-1"?><article xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance">
<front>
<journal-meta>
<journal-id>1665-5346</journal-id>
<journal-title><![CDATA[Revista mexicana de economía y finanzas]]></journal-title>
<abbrev-journal-title><![CDATA[Rev. mex. econ. finanz]]></abbrev-journal-title>
<issn>1665-5346</issn>
<publisher>
<publisher-name><![CDATA[Instituto Mexicano de Ejecutivos de Finanzas A.C.]]></publisher-name>
</publisher>
</journal-meta>
<article-meta>
<article-id>S1665-53462020000500577</article-id>
<article-id pub-id-type="doi">10.21919/remef.v15i0.547</article-id>
<title-group>
<article-title xml:lang="en"><![CDATA[Granger revisited: t values and the empirical OLS bias with stationary and non-stationary time series using Monte Carlo simulations]]></article-title>
<article-title xml:lang="es"><![CDATA[Granger revisitado: valores t y el sesgo empírico de OLS con series temporales estacionarias y no estacionarias utilizando simulaciones de Monte Carlo]]></article-title>
</title-group>
<contrib-group>
<contrib contrib-type="author">
<name>
<surname><![CDATA[Guerrero-de-Lizardi]]></surname>
<given-names><![CDATA[Carlos]]></given-names>
</name>
<xref ref-type="aff" rid="Aff"/>
</contrib>
</contrib-group>
<aff id="Af1">
<institution><![CDATA[,Universidad Nacional Autónoma de México  ]]></institution>
<addr-line><![CDATA[ ]]></addr-line>
<country>Mexico</country>
</aff>
<pub-date pub-type="pub">
<day>00</day>
<month>00</month>
<year>2020</year>
</pub-date>
<pub-date pub-type="epub">
<day>00</day>
<month>00</month>
<year>2020</year>
</pub-date>
<volume>15</volume>
<numero>spe</numero>
<fpage>577</fpage>
<lpage>588</lpage>
<copyright-statement/>
<copyright-year/>
<self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_arttext&amp;pid=S1665-53462020000500577&amp;lng=en&amp;nrm=iso"></self-uri><self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_abstract&amp;pid=S1665-53462020000500577&amp;lng=en&amp;nrm=iso"></self-uri><self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_pdf&amp;pid=S1665-53462020000500577&amp;lng=en&amp;nrm=iso"></self-uri><abstract abstract-type="short" xml:lang="en"><p><![CDATA[Abstract The conduction of a reliable statistical analysis is based on the recognition of the statistical features of the time series at stake and on the underlying probabilistic assumptions of the applied model. Our purpose is to illustrate this kind of analysis using Granger&#8217;s groundbreaking ideas. Our Monte Carlo results show that in the presence of stationary and non-stationary time series, the standard ordinary least squares inference could be misleading. We will graphically address the empirical distribution of the estimator&#8217;s bias as well as the inconvenience of using standard errors to illustrate how the true variation is underestimated. We recommend following Granger&#8217;s suggestions, which we highlight with originality using a &#8220;measurement in economics&#8221; perspective. Our quantitative exercises are replicable to the extent that we fully shared our codes in addition to using an open-access database of the seminal paper written by Nelson and Plosser (1982). Our main conclusion is simple: empirical researchers should be cautious when drawing qualitative findings based on a standard ordinary least squares inference carried out in the context of a regression analysis.]]></p></abstract>
<abstract abstract-type="short" xml:lang="es"><p><![CDATA[Resumen La realización de un análisis estadístico confiable se fundamenta en el reconocimiento de las características estadísticas de las series de tiempo en juego y de los supuestos probabilísticos subyacentes del modelo aplicado. Nuestro propósito es ilustrar este tipo de análisis utilizando algunas ideas de Granger. Nuestros resultados de Monte Carlo muestran que en presencia de series de tiempo estacionarias y no estacionarias, la inferencia basada en los mínimos cuadrados ordinarios puede ser engañosa. Abordamos gráficamente la distribución empírica del sesgo del estimador y el inconveniente del uso de errores estándar que subestiman su verdadera variación. Recomendaremos seguir las sugerencias de Granger, que destacamos con originalidad utilizando una perspectiva desde la &#8220;medición en economía&#8221;. Nuestros ejercicios cuantitativos son replicables en la medida en que compartimos completamente nuestros códigos y utilizamos la base de datos de acceso abierto del documento seminal escrito por Nelson y Plosser (1982). Nuestra conclusión principal es simple: los investigadores empíricos deben ser absolutamente cautelosos al momento de extraer conclusiones cualitativas basadas en una inferencia estándar de mínimos cuadrados ordinarios realizada en el contexto de un análisis de regresión.]]></p></abstract>
<kwd-group>
<kwd lng="en"><![CDATA[reliable statistical analysis]]></kwd>
<kwd lng="en"><![CDATA[standard OLS inference]]></kwd>
<kwd lng="en"><![CDATA[empirical bias]]></kwd>
<kwd lng="en"><![CDATA[replicability]]></kwd>
<kwd lng="en"><![CDATA[measurement in economics]]></kwd>
<kwd lng="es"><![CDATA[análisis estadístico confiable]]></kwd>
<kwd lng="es"><![CDATA[inferencia estándar basada en los MCO]]></kwd>
<kwd lng="es"><![CDATA[sesgo empírico]]></kwd>
<kwd lng="es"><![CDATA[replicabilidad]]></kwd>
<kwd lng="es"><![CDATA[medición en economía]]></kwd>
</kwd-group>
</article-meta>
</front><back>
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