Logo
Munich Personal RePEc Archive

Spurious Regression

Ventosa-Santaulària, Daniel (2008): Spurious Regression. Published in: Journal of Probability and Statistics , Vol. 2009, No. 802975 (2009)

[thumbnail of MPRA_paper_59008.pdf]
Preview
PDF
MPRA_paper_59008.pdf

Download (295kB) | Preview

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.

Atom RSS 1.0 RSS 2.0

Contact us: mpra@ub.uni-muenchen.de

This repository has been built using EPrints software.

MPRA is a RePEc service hosted by Logo of the University Library LMU Munich.