A note on spurious regressions between stationary series

Jen-Je Su

Applied Economics Letters, 2008, vol. 15, issue 15, pages 1225-1230

Abstract: This article examines if the convergent t-test suggested by Sun (2004) is able to solve spurious regressions with stationary series. In brief, we find that the convergent t-test does provide better control over size compared to the usual t-test and its Newey-West modification and, in most cases implementing a pre-whitening procedure size is further controlled.

Date: 2008
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