An alternative approach for testing for linear association for two independent stationary AR(1) processes

Christos Agiakloglou and Apostolos Tsimpanos

Applied Economics, 2012, vol. 44, issue 36, 4799-4803

Abstract: Spurious correlations occur when two independent time series are found to be correlated according to the typical statistical procedure for testing the null hypothesis of zero correlation in the population. Using a Monte Carlo analysis, this study examines the spurious correlation phenomenon for two independent stationary AR(1) processes and it finds that if an alternative testing procedure is applied, spurious behaviour is eliminated using the variance of the sample correlation coefficient of these two series, suggested by Bartlett (1935).

Date: 2012
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Journal Article: An alternative approach for testing for linear association for two independent stationary AR(1) processes (2012)
Working Paper: AN ALTERNATIVE APPROACH FOR TESTING FOR LINEAR ASSOCIATION FOR TWO INDEPENDENT STATIONARY AR(1) PROCESSES (2011)
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DOI: 10.1080/00036846.2011.595695

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