EconPapers    
Economics at your fingertips  
 

Spurious Regression and Trending Variables

Antonio Noriega () and Daniel Ventosa-Santaulària ()

MPRA Paper from University Library of Munich, Germany

Abstract: 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)
Date: 2007
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)

Related works:
Journal Article: Spurious Regression and Trending Variables (2007) Downloads
Working Paper: Spurious Regression and Trending Variables (2007) Downloads
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: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 ().

 
Page updated 2018-07-19
Handle: RePEc:pra:mprapa:58775