Spurious regression: A higher-order problem
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.
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- Bennett T. McCallum, 2010.
"Is the Spurious Regression Problem Spurious?,"
NBER Working Papers
15690, National Bureau of Economic Research, Inc.
- Granger, C. W. J. & Newbold, P., 1974. "Spurious regressions in econometrics," Journal of Econometrics, Elsevier, vol. 2(2), pages 111-120, July.
- Breusch, T S, 1978. "Testing for Autocorrelation in Dynamic Linear Models," Australian Economic Papers, Wiley Blackwell, vol. 17(31), pages 334-55, December.
- 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.
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