Nonsense regressions due to neglected time-varying means
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Volume (Year): 44 (2003)
Issue (Month): 2 (April)
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- Monta s, Antonio & Reyes, Marcelo, 1998. "Effect Of A Shift In The Trend Function On Dickey Fuller Unit Root Tests," Econometric Theory, Cambridge University Press, vol. 14(03), pages 355-363, June.
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"Understanding Spurious Regressions in Econometrics,"
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- Wooldridge, Jeffrey M., 1991. "A note on computing r-squared and adjusted r-squared for trending and seasonal data," Economics Letters, Elsevier, vol. 36(1), pages 49-54, May.
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