Spurious Regression
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ID: 39292
2009
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Abstract
The spurious regression phenomenon in least squares occurs for a wide range
of data generating processes, such as driftless unit roots, unit roots with drift,
long memory, trend and broken-trend stationarity. Indeed, spurious regressions
have played a fundamental role in the building of modern time series econometrics
and have revolutionized many of the procedures used in applied macroeconomics. Spin-offs from this research range from unit-root tests to cointegration and error-correction models. This paper provides an overview of results about spurious
regression, pulled from disperse sources, and explains their implications.
| Reference Key |
ventosasantaulria2009spuriousjournal
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|---|---|
| Authors | Ventosa-Santaulària, D.; |
| Journal | journal of probability and statistics |
| Year | 2009 |
| DOI |
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| Keywords | Keywords not found |
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