Spurious regressions with stationary series

Clive Granger, Namwon Hyung and Yongil Jeon

Applied Economics, 2001, vol. 33, issue 7, 899-904

Abstract: A spurious regression occurs when a pair of independent series, but with strong temporal properties, are found apparently to be related according to standard inference in an OLS regression. Although this is well known to occur with pairs of independent unit root processes, this paper finds evidence that similar results are found with positively autocorrelated autoregressive series or long moving averages. This occurs regardless of the sample size and for various distributions of the error terms.

Date: 2001
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Working Paper: Spurious Regressions with Stationary Series (1998)
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DOI: 10.1080/00036840121734

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