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A drunk and her dog: a spurious relation? Cointegration tests as instruments to detect spurious correlations between integrated time series

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  • Esther Stroe-Kunold
  • Joachim Werner

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    File URL: http://hdl.handle.net/10.1007/s11135-008-9168-9
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    Bibliographic Info

    Article provided by Springer in its journal Quality & Quantity.

    Volume (Year): 43 (2009)
    Issue (Month): 6 (November)
    Pages: 913-940

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    Handle: RePEc:spr:qualqt:v:43:y:2009:i:6:p:913-940

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    Web page: http://www.springer.com/economics/journal/11135

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    Related research

    Keywords: Spurious correlation; Spurious regression; Cointegration; Multivariate time series analysis; Psychological process research; Longitudinal analysis; Stationarity; Monte Carlo experiments;

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    1. Charles R. Nelson & Heejoon Kang, 1983. "Pitfalls in the use of Time as an Explanatory Variable in Regression," NBER Technical Working Papers 0030, National Bureau of Economic Research, Inc.
    2. Granger, C. W. J., 1981. "Some properties of time series data and their use in econometric model specification," Journal of Econometrics, Elsevier, vol. 16(1), pages 121-130, May.
    3. Jennifer Roberts, 2000. "Spurious regression problems in the determinants of health care expenditure: a comment on Hitiris (1997)," Applied Economics Letters, Taylor & Francis Journals, vol. 7(5), pages 279-283.
    4. A.F. Darrat & Y.K. Al-Yousif, 1999. "On the Long-Run Relationship between Population and Economic Growth: Some Time Series Evidence for Developing Countries," Eastern Economic Journal, Eastern Economic Association, vol. 25(3), pages 301-313, Summer.
    5. Marina Fortes & Didier Deligniéres & Grégory Ninot, 2004. "The Dynamics of Self-Esteem and Physical Self: Between Preservation and Adaptation," Quality & Quantity: International Journal of Methodology, Springer, vol. 38(6), pages 735-751, December.
    6. Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-80, November.
    7. de Jong, Robert M., 2003. "Logarithmic spurious regressions," Economics Letters, Elsevier, vol. 81(1), pages 13-21, October.
    8. Haldrup, Niels, 1994. "The asymptotics of single-equation cointegration regressions with I(1) and I(2) variables," Journal of Econometrics, Elsevier, vol. 63(1), pages 153-181, July.
    9. Granger, C. W. J. & Newbold, P., 1974. "Spurious regressions in econometrics," Journal of Econometrics, Elsevier, vol. 2(2), pages 111-120, July.
    10. Granger, C. W. J., 1988. "Causality, cointegration, and control," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 551-559.
    11. Theo Hitiris, 1997. "Health care expenditure and integration in the countries of the European Union," Applied Economics, Taylor & Francis Journals, vol. 29(1), pages 1-6.
    12. Johansen, Soren, 1995. "Likelihood-Based Inference in Cointegrated Vector Autoregressive Models," OUP Catalogue, Oxford University Press, number 9780198774501, September.
    13. John Luiz, 2001. "Temporal Association, the Dynamics of Crime, and their Economic Determinants: A Time Series Econometric Model of South Africa," Social Indicators Research, Springer, vol. 53(1), pages 33-61, January.
    14. Peter C.B. Phillips, 1985. "Understanding Spurious Regressions in Econometrics," Cowles Foundation Discussion Papers 757, Cowles Foundation for Research in Economics, Yale University.
    15. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
    16. Engle, R. F. & Granger, C. W. J. (ed.), 1991. "Long-Run Economic Relationships: Readings in Cointegration," OUP Catalogue, Oxford University Press, number 9780198283393, September.
    17. Francesc Marmol & Carlos Velasco, 2004. "Consistent Testing of Cointegrating Relationships," Econometrica, Econometric Society, vol. 72(6), pages 1809-1844, November.
    18. Zhiqiu Lin & Augustine Brannigan, 2003. "Advances in the Analysis of Non-stationary Time Series: An Illustration of Cointegration and Error Correction Methods in Research on Crime and Immigration," Quality & Quantity: International Journal of Methodology, Springer, vol. 37(2), pages 151-168, May.
    19. Hendry, David F, 1986. "Econometric Modelling with Cointegrated Variables: An Overview," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 48(3), pages 201-12, August.
    20. Granger, Clive W J, 1986. "Developments in the Study of Cointegrated Economic Variables," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 48(3), pages 213-28, August.
    21. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-72, June.
    22. Banerjee, Anindya & Dolado, Juan J. & Galbraith, John W. & Hendry, David, 1993. "Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data," OUP Catalogue, Oxford University Press, number 9780198288107, September.
    23. Robert McNown, 2003. "A Cointegration Model of Age-Specific Fertility and Female Labor Supply in the United States," Southern Economic Journal, Southern Economic Association, vol. 70(2), pages 344-358, October.
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