Spurious Regression
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...
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| Main Author: | |
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| Format: | Article |
| Language: | English |
| Published: |
Wiley
2009-01-01
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| Series: | Journal of Probability and Statistics |
| Online Access: | http://dx.doi.org/10.1155/2009/802975 |
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| Summary: | 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. |
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| ISSN: | 1687-952X 1687-9538 |