Spurious Regression
2009 ◽
Vol 2009
◽
pp. 1-27
◽
Keyword(s):
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.
2017 ◽
Vol 6
(6)
◽
pp. 127
Keyword(s):
1996 ◽
Vol 11
(2)
◽
pp. 277-303
◽
Keyword(s):
Keyword(s):
Keyword(s):
Keyword(s):
1995 ◽
Vol 16
(6)
◽
pp. 555-569
Keyword(s):