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Regresión espuria en especificaciones dinámicas

Author

Listed:
  • Manuel Gómez Zaldivar

    (Departamento de Economía y Finanzas, Universidad de Guanajuato.)

  • Oscar Manjarrez Castro

    (Departamento de Economía y Finanzas, Universidad de Guanajuato.)

  • Daniel Ventosa-Santaulària

    () (Departamento de Economía y Finanzas, Universidad de Guanajuato.)

Abstract

The spurious regression phenomenon, identified by Granger and Newbold (1974) is well known in econometrics. In fact, spurious regression occurs under a wide variety of Data Generating Processes: driftless unit root, unit root with drift, trend stationarity, broken-trend stationarity,… However, the phenomenon has been solely studied under the assumption that the specification to be estimated is a simple linear regression with a single regressand. We prove in this article that the spurious regression phenomenon also occurs when a dynamic specification is estimated. Dynamic specifications are commonly employed to model expectations. Our results extend the common knowledge concerning spurious regression usually found in popular textbooks: when the variables are trend stationary (i) using them in dynamic specification does not preclude the Durbin-Watson statistic to collapse so the latter is not a reliable tool in the identification of the spurious regression, and (ii) including the lagged value of the dependent variable as a regressand does not always solve the problem of spurious regression.

Suggested Citation

  • Manuel Gómez Zaldivar & Oscar Manjarrez Castro & Daniel Ventosa-Santaulària, 2009. "Regresión espuria en especificaciones dinámicas," Ensayos Revista de Economia, Universidad Autonoma de Nuevo Leon, Facultad de Economia, vol. 0(1), pages 1-20, May.
  • Handle: RePEc:ere:journl:v:xxviii:y:2009:i:1:p:1-20
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    References listed on IDEAS

    as
    1. Marmol, Francesc, 1996. "Nonsense Regressions between Integrated Processes of Different Orders," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 58(3), pages 525-536, August.
    2. Francesc Marmol, 1995. "SPURIOUS REGRESSIONS BETWEEN I(d) PROCESSES," Journal of Time Series Analysis, Wiley Blackwell, vol. 16(3), pages 313-321, May.
    3. Entorf, Horst, 1997. "Random walks with drifts: Nonsense regression and spurious fixed-effect estimation," Journal of Econometrics, Elsevier, vol. 80(2), pages 287-296, October.
    4. Phillips, P.C.B., 1986. "Understanding spurious regressions in econometrics," Journal of Econometrics, Elsevier, vol. 33(3), pages 311-340, December.
    5. Antonio E. Noriega & Daniel Ventosa-Santaulària, 2006. "Spurious Regression Under Broken-Trend Stationarity," Journal of Time Series Analysis, Wiley Blackwell, vol. 27(5), pages 671-684, September.
    6. Tsay, Wen-Jen & Chung, Ching-Fan, 2000. "The spurious regression of fractionally integrated processes," Journal of Econometrics, Elsevier, vol. 96(1), pages 155-182, May.
    7. Granger, C. W. J. & Newbold, P., 1974. "Spurious regressions in econometrics," Journal of Econometrics, Elsevier, vol. 2(2), pages 111-120, July.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    Spurious Regression; Trend Stationarity; Dynamic Specification;

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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