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A note on spurious regressions between stationary series

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  • Jen-Je Su

Abstract

This article examines if the convergent t-test suggested by Sun (2004) is able to solve spurious regressions with stationary series. In brief, we find that the convergent t-test does provide better control over size compared to the usual t-test and its Newey-West modification and, in most cases implementing a pre-whitening procedure size is further controlled.

Suggested Citation

  • Jen-Je Su, 2008. "A note on spurious regressions between stationary series," Applied Economics Letters, Taylor & Francis Journals, vol. 15(15), pages 1225-1230.
    • Handle: RePEc:taf:apeclt:v:15:y:2008:i:15:p:1225-1230
    DOI: 10.1080/13504850601018106
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    Cited by:

    1. Baumohl, Eduard & Lyocsa, Stefan, 2013. "Volatility and dynamic conditional correlations of European emerging stock markets," MPRA Paper 49898, University Library of Munich, Germany.
    2. Ghouse, Ghulam & Khan, Saud Ahmed & Rehman, Atiq Ur, 2018. "ARDL model as a remedy for spurious regression: problems, performance and prospectus," MPRA Paper 83973, University Library of Munich, Germany.
    3. Sulejmani Artan & Tevdovski Dragan, 2022. "How the Contagion is Transmitted to the Macedonian Stock Market? an Analysis of Co-Exceedances," South East European Journal of Economics and Business, Sciendo, vol. 17(1), pages 1-13, June.
    4. Roman Horváth & Štefan Lyócsa & Eduard Baumöhl, 2018. "Stock market contagion in Central and Eastern Europe: unexpected volatility and extreme co-exceedance," The European Journal of Finance, Taylor & Francis Journals, vol. 24(5), pages 391-412, March.
    5. Jan M. Smolarski & Jose G. Vega, 2013. "Extreme events: a study of small oil and gas firms," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 53(3), pages 809-836, September.
    6. Baumöhl, Eduard & Lyócsa, Štefan, 2014. "Volatility and dynamic conditional correlations of worldwide emerging and frontier markets," Economic Modelling, Elsevier, vol. 38(C), pages 175-183.

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