Spurious regressions with high-order models: A reconsideration

Lingxiang Zhang

Economics Letters, 2018, vol. 168, issue C, 70-72

Abstract: This paper reconsiders spurious regressions with high-order processes by using a balanced regression approach. Results show that if the balanced orders adopted in a regression model are greater than the truly largest lag of regressand and regressor data generation processes, then spurious regressions can be eliminated.

Keywords: Spurious regression; High-order models; Balanced regression (search for similar items in EconPapers)
JEL-codes: C12 C32 C52 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0165176518301368
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:168:y:2018:i:c:p:70-72

DOI: 10.1016/j.econlet.2018.04.007

Access Statistics for this article

Economics Letters is currently edited by Economics Letters Editorial Office

More articles in Economics Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().