Spurious Regressions with Stationary Series

Clive Granger, Namwon Hyung and Yongil Jeon

University of California at San Diego, Economics Working Paper Series from Department of Economics, UC San Diego

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 on long moving averages. This occurs regardless of the sample size and for various distributions of the error terms.

Keywords: autoregressions; spurious regressions; inference (search for similar items in EconPapers)
Date: 1998-10-01
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Citations: View citations in EconPapers (16)

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