Nonsense regressions due to neglected time-varying means
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References listed on IDEAS
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- Antonio E. Noriega & Daniel Ventosa-Santaulària, 2011. "A Simple Test for Spurious Regressions," Working Papers 2011-05, Banco de México.
- Chris Stewart, 2011. "A note on spurious significance in regressions involving I(0) and I(1) variables," Empirical Economics, Springer, pages 565-571.
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- Baranzini, Andrea & Weber, Sylvain, 2013. "Elasticities of gasoline demand in Switzerland," Energy Policy, Elsevier, vol. 63(C), pages 674-680.
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- Travaglini, Guido, 2007. "The U.S. Dynamic Taylor Rule With Multiple Breaks, 1984-2001," MPRA Paper 3419, University Library of Munich, Germany, revised 15 Jun 2007.
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KeywordsLevel shifts; deterministic seasonality; spurious correlation;
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