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A drunk and her dog: a spurious relation? Cointegration tests as instruments to detect spurious correlations between integrated time series

  • Esther Stroe-Kunold
  • Joachim Werner


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    Article provided by Springer in its journal Quality & Quantity.

    Volume (Year): 43 (2009)
    Issue (Month): 6 (November)
    Pages: 913-940

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    Handle: RePEc:spr:qualqt:v:43:y:2009:i:6:p:913-940
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    1. Francesc Marmol & Carlos Velasco, 2004. "Consistent Testing of Cointegrating Relationships," Econometrica, Econometric Society, vol. 72(6), pages 1809-1844, November.
    2. Granger, C. W. J., 1988. "Causality, cointegration, and control," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 551-559.
    3. Engle, R. F. & Granger, C. W. J. (ed.), 1991. "Long-Run Economic Relationships: Readings in Cointegration," OUP Catalogue, Oxford University Press, number 9780198283393.
    4. Marina Fortes & Didier Deligniéres & Grégory Ninot, 2004. "The Dynamics of Self-Esteem and Physical Self: Between Preservation and Adaptation," Quality & Quantity: International Journal of Methodology, Springer, vol. 38(6), pages 735-751, December.
    5. de Jong, Robert M., 2003. "Logarithmic spurious regressions," Economics Letters, Elsevier, vol. 81(1), pages 13-21, October.
    6. Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-80, November.
    7. Theo Hitiris, 1997. "Health care expenditure and integration in the countries of the European Union," Applied Economics, Taylor & Francis Journals, vol. 29(1), pages 1-6.
    8. Hendry, David F, 1986. "Econometric Modelling with Cointegrated Variables: An Overview," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 48(3), pages 201-12, August.
    9. Granger, C. W. J. & Newbold, P., 1974. "Spurious regressions in econometrics," Journal of Econometrics, Elsevier, vol. 2(2), pages 111-120, July.
    10. Haldrup, Niels, 1994. "The asymptotics of single-equation cointegration regressions with I(1) and I(2) variables," Journal of Econometrics, Elsevier, vol. 63(1), pages 153-181, July.
    11. Nelson, Charles R & Kang, Heejoon, 1984. "Pitfalls in the Use of Time as an Explanatory Variable in Regression," Journal of Business & Economic Statistics, American Statistical Association, vol. 2(1), pages 73-82, January.
    12. Banerjee, Anindya & Dolado, Juan J. & Galbraith, John W. & Hendry, David, 1993. "Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data," OUP Catalogue, Oxford University Press, number 9780198288107.
    13. Granger, C. W. J., 1981. "Some properties of time series data and their use in econometric model specification," Journal of Econometrics, Elsevier, vol. 16(1), pages 121-130, May.
    14. Robert McNown, 2003. "A Cointegration Model of Age-Specific Fertility and Female Labor Supply in the United States," Southern Economic Journal, Southern Economic Association, vol. 70(2), pages 344-358, October.
    15. Phillips, P.C.B., 1986. "Understanding spurious regressions in econometrics," Journal of Econometrics, Elsevier, vol. 33(3), pages 311-340, December.
    16. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
    17. Granger, Clive W J, 1986. "Developments in the Study of Cointegrated Economic Variables," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 48(3), pages 213-28, August.
    18. A.F. Darrat & Y.K. Al-Yousif, 1999. "On the Long-Run Relationship between Population and Economic Growth: Some Time Series Evidence for Developing Countries," Eastern Economic Journal, Eastern Economic Association, vol. 25(3), pages 301-313, Summer.
    19. John Luiz, 2001. "Temporal Association, the Dynamics of Crime, and their Economic Determinants: A Time Series Econometric Model of South Africa," Social Indicators Research, Springer, vol. 53(1), pages 33-61, January.
    20. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-72, June.
    21. Jennifer Roberts, 2000. "Spurious regression problems in the determinants of health care expenditure: a comment on Hitiris (1997)," Applied Economics Letters, Taylor & Francis Journals, vol. 7(5), pages 279-283.
    22. Zhiqiu Lin & Augustine Brannigan, 2003. "Advances in the Analysis of Non-stationary Time Series: An Illustration of Cointegration and Error Correction Methods in Research on Crime and Immigration," Quality & Quantity: International Journal of Methodology, Springer, vol. 37(2), pages 151-168, May.
    23. Johansen, Soren, 1995. "Likelihood-Based Inference in Cointegrated Vector Autoregressive Models," OUP Catalogue, Oxford University Press, number 9780198774501.
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