Spurious Regression

Daniel Ventosa-Santaulària

Journal of Probability and Statistics, 2009, vol. 2009, 1-27

Abstract:

The spurious regression phenomenon in least squares occurs for a wide range of data generating processes, such as driftless unit roots, unit roots with drift, long memory, trend and broken-trend stationarity. Indeed, spurious regressions have played a fundamental role in the building of modern time series econometrics and have revolutionized many of the procedures used in applied macroeconomics. Spin-offs from this research range from unit-root tests to cointegration and error-correction models. This paper provides an overview of results about spurious regression, pulled from disperse sources, and explains their implications.

Date: 2009
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Working Paper: Spurious Regression (2008)
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnljps:802975

DOI: 10.1155/2009/802975

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