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

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## 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.

Item Type: | MPRA Paper |
---|---|

Original Title: | Spurious Regression |

English Title: | Spurious Regression |

Language: | English |

Keywords: | Spurious Regression, Stationarity, Unit Root, Long Memory. |

Subjects: | C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C10 - General C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C12 - Hypothesis Testing: General C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C13 - Estimation: General C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes |

Item ID: | 59008 |

Depositing User: | Dr. Daniel Ventosa-Santaulària |

Date Deposited: | 30 Sep 2014 22:20 |

Last Modified: | 28 Sep 2019 16:31 |

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URI: | https://mpra.ub.uni-muenchen.de/id/eprint/59008 |