Spurious regression: A higher-order problem

Robert Sollis

Economics Letters, 2011, vol. 111, issue 2, 141-143

Abstract: This paper investigates solving the spurious regression problem using an autocorrelation correction. It is shown that if the relevant data generation processes contain higher-order terms, this solution is not as effective as in the first-order case.

Keywords: Spurious; regression; Cochrane-Orcutt; Simulation (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:111:y:2011:i:2:p:141-143

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