Spurious regressions driven by excessive volatility

Chang Sik Kim and Sungro Lee

Economics Letters, 2011, vol. 113, issue 3, 292-297

Abstract: This paper shows that the excessive volatility results in spurious regressions. The spuriousness can be driven by persistency in the error variances unlike the conventional spurious regressions that are generated by the persistency in the level of regression errors.

Keywords: Stochastic volatility; Persistency in volatility; Near-unit root; Spurious regression (search for similar items in EconPapers)
JEL-codes: C22 (search for similar items in EconPapers)
Date: 2011
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:113:y:2011:i:3:p:292-297

DOI: 10.1016/j.econlet.2011.08.014

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