A simple solution for spurious regressions
Daniel Ventosa-Santaulària and
Antonio Noriega ()
Communications in Statistics - Theory and Methods, 2016, vol. 45, issue 19, 5561-5583
Abstract:
The literature on spurious regressions has found that the t-statistic for testing the null of no relationship between two independent variables diverges asymptotically under a wide variety of non stationary data-generating processes for the dependent and explanatory variables. This paper introduces a simple method which guarantees convergence of this t-statistic to a pivotal limit distribution, thus allowing asymptotic inference. This method can be used to distinguish a genuine relationship from a spurious one among integrated processes. We apply the proposed procedure to several pairs of apparently independent integrated variables, and find that our procedure does not find (spurious) significant relationships.
Date: 2016
References: Add references at CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
http://hdl.handle.net/10.1080/03610926.2014.948196 (text/html)
Access to full text is restricted to subscribers.
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:taf:lstaxx:v:45:y:2016:i:19:p:5561-5583
Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/lsta20
DOI: 10.1080/03610926.2014.948196
Access Statistics for this article
Communications in Statistics - Theory and Methods is currently edited by Debbie Iscoe
More articles in Communications in Statistics - Theory and Methods from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().