Spurious Regressions with Stationary Series
AbstractA spurious regression occurs when a pair of independent series, but with strong temporal properties, are found apparently to be related according to standard inference in an OLS regression. Although this is well known to occur with pairs of independent unit root processes, this paper finds evidence that similar results are found with positively autocorrelated autoregressive series on long moving averages. This occurs regardless of the sample size and for various distributions of the error terms.
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Bibliographic InfoPaper provided by Department of Economics, UC San Diego in its series University of California at San Diego, Economics Working Paper Series with number qt7r3353t8.
Date of creation: 01 Oct 1998
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autoregressions; spurious regressions; inference;
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