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Regresión espuria en especificaciones dinámicas

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Author Info

  • Manuel Gómez Zaldivar

    (Departamento de Economía y Finanzas, Universidad de Guanajuato.)

  • Oscar Manjarrez Castro

    (Departamento de Economía y Finanzas, Universidad de Guanajuato.)

  • Daniel Ventosa-Santaulària

    ()
    (Departamento de Economía y Finanzas, Universidad de Guanajuato.)

Abstract

The spurious regression phenomenon, identified by Granger and Newbold (1974) is well known in econometrics. In fact, spurious regression occurs under a wide variety of Data Generating Processes: driftless unit root, unit root with drift, trend stationarity, broken-trend stationarity,… However, the phenomenon has been solely studied under the assumption that the specification to be estimated is a simple linear regression with a single regressand. We prove in this article that the spurious regression phenomenon also occurs when a dynamic specification is estimated. Dynamic specifications are commonly employed to model expectations. Our results extend the common knowledge concerning spurious regression usually found in popular textbooks: when the variables are trend stationary (i) using them in dynamic specification does not preclude the Durbin-Watson statistic to collapse so the latter is not a reliable tool in the identification of the spurious regression, and (ii) including the lagged value of the dependent variable as a regressand does not always solve the problem of spurious regression.

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File URL: http://www.economia.uanl.mx/revistaensayos/xxviii/1/Regresion-Espuria.pdf
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File URL: http://www.economia.uanl.mx/revistaensayos/xxviii/1/Apendice-B-Regresion-espuria.pdf
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Bibliographic Info

Article provided by Universidad Autonoma de Nuevo Leon, Facultad de Economia in its journal Ensayos Revista de Economia.

Volume (Year): XXVIII (2009)
Issue (Month): 1 (May)
Pages: 1-20

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Handle: RePEc:ere:journl:v:xxviii:y:2009:i:1:p:1-20

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Related research

Keywords: Spurious Regression; Trend Stationarity; Dynamic Specification;

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References

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  1. Marmol, Francesc, 1996. "Nonsense Regressions between Integrated Processes of Different Orders," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 58(3), pages 525-36, August.
  2. Tsay, Wen-Jen & Chung, Ching-Fan, 2000. "The spurious regression of fractionally integrated processes," Journal of Econometrics, Elsevier, vol. 96(1), pages 155-182, May.
  3. Antonio E. Noriega & Daniel Ventosa-Santaularia, 2005. "Spurious regression under broken trend stationarity," Department of Economics and Finance Working Papers EM200501, Universidad de Guanajuato, Department of Economics and Finance.
  4. Granger, C. W. J. & Newbold, P., 1974. "Spurious regressions in econometrics," Journal of Econometrics, Elsevier, vol. 2(2), pages 111-120, July.
  5. Peter C.B. Phillips, 1985. "Understanding Spurious Regressions in Econometrics," Cowles Foundation Discussion Papers 757, Cowles Foundation for Research in Economics, Yale University.
  6. Entorf, Horst, 1997. "Random walks with drifts: Nonsense regression and spurious fixed-effect estimation," Journal of Econometrics, Elsevier, vol. 80(2), pages 287-296, October.
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