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Spurious regression: A higher-order problem

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  • Sollis, Robert

Abstract

This paper investigates solving the spurious regression problem using an autocorrelation correction. It is shown that if the relevant data generation processes contain higher-order terms, this solution is not as effective as in the first-order case.

Suggested Citation

  • Sollis, Robert, 2011. "Spurious regression: A higher-order problem," Economics Letters, Elsevier, vol. 111(2), pages 141-143, May.
    • Handle: RePEc:eee:ecolet:v:111:y:2011:i:2:p:141-143
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    References listed on IDEAS

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    1. Clive W.J. Granger, 2004. "Time Series Analysis, Cointegration, and Applications," American Economic Review, American Economic Association, vol. 94(3), pages 421-425, June.
    2. Breusch, T S, 1978. "Testing for Autocorrelation in Dynamic Linear Models," Australian Economic Papers, Wiley Blackwell, vol. 17(31), pages 334-355, December.
    3. Granger, C. W. J. & Newbold, P., 1974. "Spurious regressions in econometrics," Journal of Econometrics, Elsevier, vol. 2(2), pages 111-120, July.
    4. Godfrey, Leslie G, 1978. "Testing against General Autoregressive and Moving Average Error Models When the Regressors Include Lagged Dependent Variables," Econometrica, Econometric Society, vol. 46(6), pages 1293-1301, November.
    5. McCallum, Bennett T., 2010. "Is the spurious regression problem spurious?," Economics Letters, Elsevier, vol. 107(3), pages 321-323, June.
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    Cited by:

    1. Frédéric Branger, Philippe Quirion, Julien Chevallier, 2017. "Carbon Leakage and Competitiveness of Cement and Steel Industries Under the EU ETS: Much Ado About Nothing," The Energy Journal, International Association for Energy Economics, vol. 0(Number 3).
    2. Jin, Hao & Zhang, Jinsuo & Zhang, Si & Yu, Cong, 2013. "The spurious regression of AR(p) infinite-variance sequence in the presence of structural breaks," Computational Statistics & Data Analysis, Elsevier, vol. 67(C), pages 25-40.
    3. Zhang, Lingxiang, 2018. "Spurious regressions with high-order models: A reconsideration," Economics Letters, Elsevier, vol. 168(C), pages 70-72.

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