VentosaSantaulària, 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 brokentrend 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. Spinoffs from this research range from unitroot tests to cointegration and errorcorrection 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  TimeSeries Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes 
Item ID:  59008 
Depositing User:  Dr. Daniel VentosaSantaulària 
Date Deposited:  30 Sep 2014 22:20 
Last Modified:  28 Sep 2019 16:31 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/59008 