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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| Format: | Article |
| Language: | English |
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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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| _version_ | 1832549082901512192 |
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| author | D. Ventosa-Santaulària |
| author_facet | D. Ventosa-Santaulària |
| author_sort | D. Ventosa-Santaulària |
| collection | DOAJ |
| description | 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. |
| format | Article |
| id | doaj-art-2c4c331493384b5a887e7e4089168217 |
| institution | Kabale University |
| issn | 1687-952X 1687-9538 |
| language | English |
| publishDate | 2009-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Journal of Probability and Statistics |
| spelling | doaj-art-2c4c331493384b5a887e7e40891682172025-02-03T06:12:13ZengWileyJournal of Probability and Statistics1687-952X1687-95382009-01-01200910.1155/2009/802975802975Spurious RegressionD. Ventosa-Santaulària0Departamento de Economia y Finanzas, Universidad de Guanajuato, DCEA-Campus Marfil Fracc. I, 36250 El Establo, Guanajuato, Gto, MexicoThe 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.http://dx.doi.org/10.1155/2009/802975 |
| spellingShingle | D. Ventosa-Santaulària Spurious Regression Journal of Probability and Statistics |
| title | Spurious Regression |
| title_full | Spurious Regression |
| title_fullStr | Spurious Regression |
| title_full_unstemmed | Spurious Regression |
| title_short | Spurious Regression |
| title_sort | spurious regression |
| url | http://dx.doi.org/10.1155/2009/802975 |
| work_keys_str_mv | AT dventosasantaularia spuriousregression |