EconPapers    
Economics at your fingertips  
 

AN ALTERNATIVE APPROACH FOR TESTING FOR LINEAR ASSOCIATION FOR TWO INDEPENDENT STATIONARY AR(1) PROCESSES

Christos Agiakloglou

Post-Print from HAL

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 to these two series, the spurious behavior is eliminated using the variance of the sample correlation coefficient of these two series, suggested by Bartlett (1935).

Keywords: Social; Sciences; &; Humanities (search for similar items in EconPapers)
Date: 2011-09-08
Note: View the original document on HAL open archive server: https://hal.science/hal-00730233
References: View references in EconPapers View complete reference list from CitEc
Citations:

Published in Applied Economics, 2011, 44 (36), pp.4799-4803. ⟨10.1080/00036846.2011.595695⟩

Downloads: (external link)
https://hal.science/hal-00730233/document (application/pdf)

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:hal:journl:hal-00730233

DOI: 10.1080/00036846.2011.595695

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().

 
Page updated 2025-03-19
Handle: RePEc:hal:journl:hal-00730233