EconPapers    
Economics at your fingertips  
 

Spurious Regression

Daniel Ventosa-Santaulària ()

MPRA Paper from University Library of Munich, Germany

Abstract: The spurious regression phenomenon in Least Squares occurs for a wide range of Data Generating Processes, such as driftless unit roots, unit roots with drift, long memory, trend and broken-trend stationarity. Indeed, spurious regressions have played a fundamental role in the building of modern time series econometrics and have revolutionized many of the procedures used in applied macroeconomics. Spin-offs from this research range from unit-root tests to cointegration and error-correction models. This paper provides an overview of results about spurious regression, pulled from disperse sources, and explains their implications.

Keywords: Spurious Regression; Stationarity; Unit Root; Long Memory. (search for similar items in EconPapers)
JEL-codes: C10 C12 C13 C22 (search for similar items in EconPapers)
Date: 2008
References: View references in EconPapers View complete reference list from CitEc
Citations View citations in EconPapers (8) Track citations by RSS feed

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/59008/1/MPRA_paper_59008.pdf original version (application/pdf)

Related works:
Journal Article: Spurious Regression (2009) 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:59008

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 2018-09-11
Handle: RePEc:pra:mprapa:59008