A comment on ‘Is the spurious regression problem spurious?’
Martínez-Rivera, Berenice and
Daniel Ventosa-Santaulària ()
Economics Letters, 2012, vol. 115, issue 2, 229-231
McCallum (2010) presented evidence that the spurious regression problem can be solved by standard means. We show using finite-sample evidence that the spurious regression problem cannot always be fixed using standard autocorrelation correction procedures and remains, therefore, a not-so-spurious problem.
Keywords: Spurious regression; Autocorrelation; Random-walk; Breaks; Long-memory (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:115:y:2012:i:2:p:229-231
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