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Spurious regression and lurking variables

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  • García-Belmonte, Lizeth
  • Ventosa-Santaulària, Daniel

Abstract

We present asymptotic and finite-sample arguments to study the spurious regression problem. This problem may be solved by introducing a lurking variable in the specification even if it is merely a proxy variable. Moreover, this approach is also valid if the lurking variable is a trending mechanism, as when the spurious regression is due to nonstationarities in the variables.

Suggested Citation

  • García-Belmonte, Lizeth & Ventosa-Santaulària, Daniel, 2011. "Spurious regression and lurking variables," Statistics & Probability Letters, Elsevier, vol. 81(12), pages 2004-2010.
    • Handle: RePEc:eee:stapro:v:81:y:2011:i:12:p:2004-2010
    DOI: 10.1016/j.spl.2011.08.015
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    References listed on IDEAS

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    1. D. Ventosa-Santaulària, 2009. "Spurious Regression," Journal of Probability and Statistics, Hindawi, vol. 2009, pages 1-27, August.
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    Cited by:

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