A Moment Ratio estimator is proposed for an AR( p ) model of the errors in an OLS regression, that provides standard errors with far less median bias and confidence intervals with far better coverage than conventional alternatives. A unit root, and therefore the absence of cointegration, does not necessarily mean that a correlation between the variables is spurious. The estimator is applied to a quadratic trend model of real GDP. The rate of change of GDP growth is negative with finite standard error but is insignificant. The “output gap,” often used as a guide to monetary policy, has an infinite standard error and is therefore a statistical illusion. 
Moment Ratio estimation of autoregressive/unit root parameters and autocorrelation-consistent standard errors