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Is the spurious regression problem spurious?

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  • McCallum, Bennett T.

Abstract

So-called "spurious regression" relationships are generally accompanied by clear signs of residual autocorrelation. A conscientious researcher would likely re-estimate with an autocorrelation correction. Simulations indicate that resulting test statistics are close to true values, so do not yield spurious results.

Suggested Citation

  • McCallum, Bennett T., 2010. "Is the spurious regression problem spurious?," Economics Letters, Elsevier, vol. 107(3), pages 321-323, June.
  • Handle: RePEc:eee:ecolet:v:107:y:2010:i:3:p:321-323
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    References listed on IDEAS

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    1. Clive Granger & Namwon Hyung & Yongil Jeon, 2001. "Spurious regressions with stationary series," Applied Economics, Taylor & Francis Journals, vol. 33(7), pages 899-904.
    2. Davidson, Russell & MacKinnon, James G., 1993. "Estimation and Inference in Econometrics," OUP Catalogue, Oxford University Press, number 9780195060119.
    3. Granger, C. W. J. & Newbold, P., 1974. "Spurious regressions in econometrics," Journal of Econometrics, Elsevier, vol. 2(2), pages 111-120, July.
    4. Bennett T. McCallum, 1993. "Unit roots in macroeconomic time series: some critical issues," Economic Quarterly, Federal Reserve Bank of Richmond, issue Spr, pages 13-44.
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    Citations

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    Cited by:

    1. Martínez-Rivera, Berenice & Ventosa-Santaulària, Daniel, 2012. "A comment on ‘Is the spurious regression problem spurious?’," Economics Letters, Elsevier, vol. 115(2), pages 229-231.
    2. Gueorgui I. Kolev, 2011. "The "spurious regression problem" in the classical regression model framework," Economics Bulletin, AccessEcon, vol. 31(1), pages 925-937.
    3. 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.
    4. Zhang, Lingxiang, 2013. "Partial unit root and linear spurious regression: A Monte Carlo simulation study," Economics Letters, Elsevier, vol. 118(1), pages 189-191.
    5. Vyrost, Tomas & Baumöhl, Eduard & Lyocsa, Stefan, 2013. "What Drives the Stock Market Integration in the CEE-3?," EconStor Open Access Articles, ZBW - German National Library of Economics, pages 67-81.
    6. Sollis, Robert, 2011. "Spurious regression: A higher-order problem," Economics Letters, Elsevier, vol. 111(2), pages 141-143, May.
    7. Daniel Ventosa-Santaulària & J. Eduardo Vera-Valdés & Alejandra I. Martínez-Olmos, 2016. "A comment on ‘resolving spurious regressions and serially correlated errors’," Empirical Economics, Springer, vol. 51(3), pages 1289-1298, November.
    8. 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).
    9. Tu, Yundong, 2017. "On spurious regressions with partial unit root processes," Economics Letters, Elsevier, vol. 150(C), pages 142-145.

    More about this item

    Keywords

    Spurious regression Autocorrelation Random-walk Simulations;

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C29 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Other

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