Spurious Regression and Trending Variables
Antonio Noriega () and
Daniel Ventosa-Santaulària ()
MPRA Paper from University Library of Munich, Germany
This paper analyses the asymptotic and finite sample implications of different types of nonstationary behavior among the dependent and explanatory variables in a linear spurious regression model. We study cases when the nonstationarity in the dependent and explanatory variables is deterministic as well as stochastic. In particular, we derive the order in probability of the t−statistic in a linear regression equation under a variety of empirically relevant data generation processes, and show that the spurious regression phenomenon is present in all cases considered, when at least one of the variables behaves in a nonstationary way. Simulation experiments confirm our asymptotic results.
Keywords: Spurious regression; trends; unit roots; trend stationarity; structural breaks (search for similar items in EconPapers)
JEL-codes: C12 C13 C22 (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations View citations in EconPapers (10) Track citations by RSS feed
Published in Oxford Bulletin of Economics and Statistics 3.69(2007): pp. 439-444
Downloads: (external link)
https://mpra.ub.uni-muenchen.de/58775/1/MPRA_paper_58775.pdf original version (application/pdf)
Journal Article: Spurious Regression and Trending Variables (2007)
Working Paper: Spurious Regression and Trending Variables (2007)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:58775
Access Statistics for this paper
More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().