Is the spurious regression problem spurious?

Bennett McCallum

Economics Letters, 2010, vol. 107, issue 3, 321-323

Abstract: So-called "spurious regression" relationships are generally accompanied by clear signs of residual autocorrelation. A conscientious researcher would likely re-estimate with an autocorrelation correction. Simulations indicate that resulting test statistics are close to true values, so do not yield spurious results.

Keywords: Spurious; regression; Autocorrelation; Random-walk; Simulations (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (16)

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Working Paper: Is the Spurious Regression Problem Spurious? (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:107:y:2010:i:3:p:321-323

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