Regresión espuria en especificaciones dinámicas

Manuel Gómez-Zaldívar, Oscar Manjarrez Castro and Daniel Ventosa-Santaulària
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Oscar Manjarrez Castro: Departamento de Economía y Finanzas, Universidad de Guanajuato.

Ensayos Revista de Economia, 2009, vol. XXVIII, issue 1, 1-20

Abstract: The spurious regression phenomenon, identified by Granger and Newbold (1974) is well known in econometrics. In fact, spurious regression occurs under a wide variety of Data Generating Processes: driftless unit root, unit root with drift, trend stationarity, broken-trend stationarity,… However, the phenomenon has been solely studied under the assumption that the specification to be estimated is a simple linear regression with a single regressand. We prove in this article that the spurious regression phenomenon also occurs when a dynamic specification is estimated. Dynamic specifications are commonly employed to model expectations. Our results extend the common knowledge concerning spurious regression usually found in popular textbooks: when the variables are trend stationary (i) using them in dynamic specification does not preclude the Durbin-Watson statistic to collapse so the latter is not a reliable tool in the identification of the spurious regression, and (ii) including the lagged value of the dependent variable as a regressand does not always solve the problem of spurious regression.

Keywords: Spurious Regression; Trend Stationarity; Dynamic Specification (search for similar items in EconPapers)
JEL-codes: C12 C13 C22 (search for similar items in EconPapers)
Date: 2009
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