Spurious Regression

Daniel Ventosa-Santaulària

MPRA Paper from University Library of Munich, Germany

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.

Keywords: Spurious Regression; Stationarity; Unit Root; Long Memory. (search for similar items in EconPapers)
JEL-codes: C10 C12 C13 C22 (search for similar items in EconPapers)
Date: 2008
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (13)

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Related works:
Journal Article: Spurious Regression (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:59008

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