Regresión espuria en especificaciones dinámicas
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.
Volume (Year): XXVIII (2009)
Issue (Month): 1 (May)
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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Noriega, Antonio E. & Ventosa Santaulària, Daniel, 2005.
"Spurious regression under broken trend stationarity,"
58768, University Library of Munich, Germany.
- 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, 09.
- Daniel Ventosa-Santaularia & Antonio E. Noriega, 2005. "Spurious regression under broken trend stationarity," Computing in Economics and Finance 2005 186, Society for Computational Economics.
- Antonio E. Noriega & Daniel Ventosa-Santaularia, 2005. "Spurious regression under broken trend stationarity," Department of Economics and Finance Working Papers EM200501, Universidad de Guanajuato, Department of Economics and Finance.
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- 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.
- 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 525-36, August.
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