Is the Spurious Regression Problem Spurious?
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References listed on IDEAS
- Clive Granger & Namwon Hyung & Yongil Jeon, 2001.
"Spurious regressions with stationary series,"
Taylor & Francis Journals, vol. 33(7), pages 899-904.
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- Granger, C. W. J. & Newbold, P., 1974. "Spurious regressions in econometrics," Journal of Econometrics, Elsevier, vol. 2(2), pages 111-120, July.
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- Bennett T. McCallum, 1993. "Unit Roots in Macroeconomic Time Series: Some Critical Issues," NBER Working Papers 4368, National Bureau of Economic Research, Inc.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Sollis, Robert, 2011. "Spurious regression: A higher-order problem," Economics Letters, Elsevier, vol. 111(2), pages 141-143, May.
- Jin, Hao & Zhang, Jinsuo & Zhang, Si & Yu, Cong, 2013. "The spurious regression of AR(p) infinite-variance sequence in the presence of structural breaks," Computational Statistics & Data Analysis, Elsevier, vol. 67(C), pages 25-40.
- Daniel Ventosa-Santaulària & J. Eduardo Vera-Valdés & Alejandra I. Martínez-Olmos, 2016. "A comment on ‘resolving spurious regressions and serially correlated errors’," Empirical Economics, Springer, vol. 51(3), pages 1289-1298, November.
- Tu, Yundong, 2017. "On spurious regressions with partial unit root processes," Economics Letters, Elsevier, vol. 150(C), pages 142-145.
- Frédéric Branger, Philippe Quirion, Julien Chevallier, 2017. "Carbon Leakage and Competitiveness of Cement and Steel Industries Under the EU ETS: Much Ado About Nothing," The Energy Journal, International Association for Energy Economics, vol. 0(Number 3).
- Martínez-Rivera, Berenice & Ventosa-Santaulària, Daniel, 2012. "A comment on ‘Is the spurious regression problem spurious?’," Economics Letters, Elsevier, vol. 115(2), pages 229-231.
- Zhang, Lingxiang, 2013. "Partial unit root and linear spurious regression: A Monte Carlo simulation study," Economics Letters, Elsevier, vol. 118(1), pages 189-191.
- Vyrost, Tomas & Baumöhl, Eduard & Lyocsa, Stefan, 2013. "What Drives the Stock Market Integration in the CEE-3?," EconStor Open Access Articles, ZBW - German National Library of Economics, pages 67-81.
- Gueorgui I. Kolev, 2011. "The "spurious regression problem" in the classical regression model framework," Economics Bulletin, AccessEcon, vol. 31(1), pages 925-937.
- repec:eee:ecolet:v:168:y:2018:i:c:p:70-72 is not listed on IDEAS
More about this item
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C29 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Other
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2010-02-20 (All new papers)
- NEP-ECM-2010-02-20 (Econometrics)
- NEP-ETS-2010-02-20 (Econometric Time Series)
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