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Understanding spurious regressions in econometrics

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Cited by:

  1. Lee, Chien-Chiang & Lee, Jun-De, 2009. "Income and CO2 emissions: Evidence from panel unit root and cointegration tests," Energy Policy, Elsevier, vol. 37(2), pages 413-423, February.
  2. Olufunmilayo Olayemi Jemiluyi & Ifeoluwa Alao-Owunna, 2020. "A Reconsideration of the Health Status – Economic Growth Nexus: Evaluation of the Gender Differential Effect in Nigeria," Eurasian Journal of Economics and Finance, Eurasian Publications, vol. 8(4), pages 217-230.
  3. Olga Fullana & Mariano González & David Toscano, 2021. "The Role of Assumptions in Ohlson Model Performance: Lessons for Improving Equity-Value Modeling," Mathematics, MDPI, vol. 9(5), pages 1-11, March.
  4. Francisco Carneiro, 2004. "Are Minimum Wages to Blame for Informality in the Labour Market?," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 31(4), pages 295-306, December.
  5. Selim, Tarek, 1999. "Testing the Structural Empirical Dynamics of the Economic Growth Path of Egypt, 1950-1997," MPRA Paper 119272, University Library of Munich, Germany.
  6. Beare, Brendan K. & Seo, Won-Ki, 2020. "Representation Of I(1) And I(2) Autoregressive Hilbertian Processes," Econometric Theory, Cambridge University Press, vol. 36(5), pages 773-802, October.
  7. Kim, Byung Yeon, 1997. "Soviet Household Saving Function," Economic Change and Restructuring, Springer, vol. 30(2-3), pages 181-203.
  8. Thilo Reinschlussel & Martin C. Arnold, 2024. "Information-Enriched Selection of Stationary and Non-Stationary Autoregressions using the Adaptive Lasso," Papers 2402.16580, arXiv.org.
  9. Rodrigues, Paulo M. M. & Taylor, A. M. Robert, 2004. "Alternative estimators and unit root tests for seasonal autoregressive processes," Journal of Econometrics, Elsevier, vol. 120(1), pages 35-73, May.
  10. Muhammad Zia Ullah Khan & Muhammad Illyas & Muqqadas Rahman & Chaudhary Abdul Rahman, 2015. "Money Monetization and Economic Growth in Pakistan," International Journal of Economics and Empirical Research (IJEER), The Economics and Social Development Organization (TESDO), vol. 3(4), pages 184-192, April.
  11. Yap, Wei Yim & Lam, Jasmine S.L., 2006. "Competition dynamics between container ports in East Asia," Transportation Research Part A: Policy and Practice, Elsevier, vol. 40(1), pages 35-51, January.
  12. Entorf, Horst, 1997. "Random walks with drifts: Nonsense regression and spurious fixed-effect estimation," Journal of Econometrics, Elsevier, vol. 80(2), pages 287-296, October.
  13. Francesca Iorio & Stefano Fachin, 2014. "Savings and investments in the OECD: a panel cointegration study with a new bootstrap test," Empirical Economics, Springer, vol. 46(4), pages 1271-1300, June.
  14. William Goetzmann & Eduardas Valaitis, 2006. "Simulating Real Estate in the Investment Portfolio: Model Uncertainty and Inflation Hedging," Yale School of Management Working Papers amz2476, Yale School of Management, revised 01 May 2006.
  15. Christian Jochum & Gebhard Kirchgässner & Mariusz Platek, 1999. "A long-run relationship between Eastern European stock markets? Cointegration and the 1997/98 crisis in emerging markets," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 135(3), pages 454-479, September.
  16. Westerlund, Joakim, 2005. "Panel Cointegration Tests of the Fisher Hypothesis," Working Papers 2005:10, Lund University, Department of Economics.
  17. Kim, Chang Sik & Lee, Sungro, 2011. "Spurious regressions driven by excessive volatility," Economics Letters, Elsevier, vol. 113(3), pages 292-297.
  18. Henryk Gurgul & Lukasz Lach, 2012. "Two deficits and economic growth: case of CEE countries in transition," Managerial Economics, AGH University of Science and Technology, Faculty of Management, vol. 12, pages 79-108.
  19. Fan, Yanqin & Gençay, Ramazan, 2010. "Unit Root Tests With Wavelets," Econometric Theory, Cambridge University Press, vol. 26(5), pages 1305-1331, October.
  20. Md. Sharif Hossain & Md. Thasinul Abedin, 2016. "Multivariate Dynamic Co-integration and Causality Analysis between Inflation and its Determinants," Journal of Economics and Behavioral Studies, AMH International, vol. 8(5), pages 240-250.
  21. Antonio E. Noriega & Daniel Ventosa‐Santaulària, 2006. "Spurious Regression Under Broken‐Trend Stationarity," Journal of Time Series Analysis, Wiley Blackwell, vol. 27(5), pages 671-684, September.
  22. Valérie Mignon & Christophe Hurlin, 2007. "Une synthèse des tests de cointégration sur données de panel," Économie et Prévision, Programme National Persée, vol. 180(4), pages 241-265.
  23. Yousif. Al-Yousif, 1999. "On the Role Exports in the Economic Growth of Malaysia: A Multivariate Analysis," International Economic Journal, Taylor & Francis Journals, vol. 13(3), pages 67-75.
  24. Laopodis, Nikiforos T. & Sawhney, Bansi L., 2002. "Dynamic interactions between Main Street and Wall Street," The Quarterly Review of Economics and Finance, Elsevier, vol. 42(4), pages 803-815.
  25. Bentzen, Jan & Engsted, Tom, 2001. "A revival of the autoregressive distributed lag model in estimating energy demand relationships," Energy, Elsevier, vol. 26(1), pages 45-55.
  26. Chani, Muhammad Irfan & Shahid, Muhammad & Hassan, Mahboob Ul, 2011. "Some socio-economic determinants of fertility in Pakistan: an empirical analysis," MPRA Paper 38742, University Library of Munich, Germany, revised 2011.
  27. Pappas, Anastasios P., 2010. "Capital Mobility and Macroeconomic Volatility: Evidence from Greece," The Journal of Economic Asymmetries, Elsevier, vol. 7(1), pages 101-121.
  28. Antonio Arroyo & Aránzazu Juan, 2013. "Spanish regions catching-up to Europe: an analysis based on the IB-MPI unit root procedure," Empirical Economics, Springer, vol. 45(2), pages 715-733, October.
  29. Brunila, Anne, 1997. "Current income and private consumption: Saving decisions: Testing the finite horizon model," Bank of Finland Research Discussion Papers 6/1997, Bank of Finland.
  30. Christopher J. Neely & Lucio Sarno, 2002. "How well do monetary fundamentals forecast exchange rates?," Review, Federal Reserve Bank of St. Louis, vol. 84(Sep), pages 51-74.
  31. Yang, Bingduo & Long, Wei & Yang, Zihui, 2022. "Testing predictability of stock returns under possible bubbles," Journal of Empirical Finance, Elsevier, vol. 68(C), pages 246-260.
  32. John Y. Campbell & Pierre Perron, 1991. "Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots," NBER Chapters, in: NBER Macroeconomics Annual 1991, Volume 6, pages 141-220, National Bureau of Economic Research, Inc.
  33. Gourieroux, Christian & Jasiak, Joann, 2010. "Inference for Noisy Long Run Component Process," MPRA Paper 98987, University Library of Munich, Germany.
  34. Phillips, Peter C. B., 2002. "New unit root asymptotics in the presence of deterministic trends," Journal of Econometrics, Elsevier, vol. 111(2), pages 323-353, December.
  35. repec:zbw:rwirep:0557 is not listed on IDEAS
  36. Jacint Balaguer & Manuel Cantavella-Jorda, 2002. "Tourism as a long-run economic growth factor: the Spanish case," Applied Economics, Taylor & Francis Journals, vol. 34(7), pages 877-884.
  37. Andersen, Torben G. & Varneskov, Rasmus T., 2022. "Testing for parameter instability and structural change in persistent predictive regressions," Journal of Econometrics, Elsevier, vol. 231(2), pages 361-386.
  38. Camba-Méndez, Gonzalo & Kapetanios, George, 2001. "Spectral based methods to identify common trends and common cycles," Working Paper Series 0062, European Central Bank.
  39. Olusegun A. Omisakin & Abimbola M. Oyinlola & Oluwatosin A. Adeniyi, 2012. "Modeling Gasoline Demand with Structural Breaks:New Evidence from Nigeria," International Journal of Energy Economics and Policy, Econjournals, vol. 2(1), pages 1-9.
  40. Derek W. Bunn & Carlo Fezzi, 2007. "Interaction of European Carbon Trading and Energy Prices," Working Papers 2007.63, Fondazione Eni Enrico Mattei.
  41. Yang, Chen & Lv, Fei & Fang, Libing & Shang, Xingxing, 2020. "The pricing efficiency of crude oil futures in the Shanghai International Exchange," Finance Research Letters, Elsevier, vol. 36(C).
  42. Zhou, Wei-Xing & Sornette, Didier, 2009. "A case study of speculative financial bubbles in the South African stock market 2003–2006," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(6), pages 869-880.
  43. Juan Pablo, Herrera Saavedra & Juan Camilo, Villar Otálora & Jacobo, Campo Robledo, 2020. "Tributación en Colombia: Una aproximación teórica y empírica de la Curva de Laffer [Taxes in Colombia: A theoretical and empirical approach to the Laffer Curve]," MPRA Paper 105405, University Library of Munich, Germany.
  44. Chao, John C. & Phillips, Peter C. B., 1999. "Model selection in partially nonstationary vector autoregressive processes with reduced rank structure," Journal of Econometrics, Elsevier, vol. 91(2), pages 227-271, August.
  45. Gomez Zaldivar, M. & Ventosa-Santaularia, D., 2009. "Bilateral Relationship between Consumption and GDP in Mexico and the USA: A Comment," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 9(1).
  46. Stefania Lionetti & Juan Gabriel Brida & Wiston Adrián Risso, 2009. "Long run economic growth and tourism: inferring from Uruguay," Quaderni della facoltà di Scienze economiche dell'Università di Lugano 0901, USI Università della Svizzera italiana.
  47. Lucio Sarno & Mark P. Taylor, 2002. "Purchasing Power Parity and the Real Exchange Rate," IMF Staff Papers, Palgrave Macmillan, vol. 49(1), pages 1-5.
  48. Gonzalo Camba‐Mendez & George Kapetanios, 2005. "Estimating the Rank of the Spectral Density Matrix," Journal of Time Series Analysis, Wiley Blackwell, vol. 26(1), pages 37-48, January.
  49. Cláudia Duarte, 2015. "Covariate-augmented unit root tests with mixed-frequency data," Working Papers w201507, Banco de Portugal, Economics and Research Department.
  50. Schubert, Stefan Franz & Brida, Juan Gabriel & Risso, Wiston Adrián, 2011. "The impacts of international tourism demand on economic growth of small economies dependent on tourism," Tourism Management, Elsevier, vol. 32(2), pages 377-385.
  51. Arize, A. C., 1996. "Cointegration test of a long-run relation between the trade balance and the terms of trade in sixteen countries," The North American Journal of Economics and Finance, Elsevier, vol. 7(2), pages 203-215.
  52. Renato Flôres & Pierre-Yves Preumont & Ariane Szafarz, 1995. "Multivariate unit root tests," Working Papers CEB 95-001.RS, ULB -- Universite Libre de Bruxelles.
  53. Park, Joon Y & Phillips, Peter C B, 2001. "Nonlinear Regressions with Integrated Time Series," Econometrica, Econometric Society, vol. 69(1), pages 117-161, January.
  54. Peter C. B. Phillips & Zhentao Shi, 2021. "Boosting: Why You Can Use The Hp Filter," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 62(2), pages 521-570, May.
  55. Peter C. B. Phillips & Zhijie Xiao, 1998. "A Primer on Unit Root Testing," Journal of Economic Surveys, Wiley Blackwell, vol. 12(5), pages 423-470, December.
  56. Dietrich, Andreas & Krüger, Jens J., 2010. "Long-run sectoral development: Time-series evidence for the German economy," Structural Change and Economic Dynamics, Elsevier, vol. 21(2), pages 111-122, May.
  57. Mohsin, Muhammad & Taghizadeh-Hesary, Farhad & Iqbal, Nadeem & Saydaliev, Hayot Berk, 2022. "The role of technological progress and renewable energy deployment in green economic growth," Renewable Energy, Elsevier, vol. 190(C), pages 777-787.
  58. Otto, Glenn & Wirjanto, Tony, 1989. "National Savings and Domestic Investment in the Long Run: Some Time Series Evidence for the U.S. and Canada," Queen's Institute for Economic Research Discussion Papers 275218, Queen's University - Department of Economics.
  59. Noriega Antonio E. & Ventosa-Santaulària Daniel, 2011. "A Simple Test for Spurious Regressions," Working Papers 2011-05, Banco de México.
  60. Mr. Jacques Bouhga-Hagbe, 2004. "A Theory of Workers' Remittances with An Application to Morocco," IMF Working Papers 2004/194, International Monetary Fund.
  61. Lin, Yingqian & Tu, Yundong, 2020. "Robust inference for spurious regressions and cointegrations involving processes moderately deviated from a unit root," Journal of Econometrics, Elsevier, vol. 219(1), pages 52-65.
  62. Ventosa-Santaularària, Daniel & Gómez, Manuel, 2006. "Inflation and Breaks: the validity of the Dickey-Fuller test," MPRA Paper 58773, University Library of Munich, Germany.
  63. Nyakundi M. Michieka & John Deal & Kyle Lahman, 2022. "Air pollution and income inequality: a spatial econometric approach," The Annals of Regional Science, Springer;Western Regional Science Association, vol. 69(1), pages 1-31, August.
  64. Bühler, Wolfgang & Korn, Olaf, 1998. "Hedging langfristiger Lieferverpflichtungen mit kurzfristigen Futures: möglich oder unmöglich?," ZEW Discussion Papers 98-20, ZEW - Leibniz Centre for European Economic Research.
  65. Benoit Perron & Hyungsik Roger Moon, 2007. "An empirical analysis of nonstationarity in a panel of interest rates with factors," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(2), pages 383-400.
  66. Giuseppe Cavaliere & Dimitris N. Politis & Anders Rahbek & Carsten Jentsch & Dimitris N. Politis & Efstathios Paparoditis, 2015. "Recent developments in bootstrap methods for dependent data," Journal of Time Series Analysis, Wiley Blackwell, vol. 36(3), pages 416-441, May.
  67. Gómez, Manuel & Ventosa-Santaulària, Daniel, 2007. "Income convergence: the Dickey-Fuller test under the simultaneous presence of stochastic and deterministic trends," MPRA Paper 58778, University Library of Munich, Germany.
  68. David Staines, 2023. "Stochastic Equilibrium the Lucas Critique and Keynesian Economics," Papers 2312.16214, arXiv.org.
  69. Karsten Reichold, 2022. "A Residuals-Based Nonparametric Variance Ratio Test for Cointegration," Papers 2211.06288, arXiv.org, revised Dec 2022.
  70. Trapani, Lorenzo & Urga, Giovanni, 2010. "Micro versus macro cointegration in heterogeneous panels," Journal of Econometrics, Elsevier, vol. 155(1), pages 1-18, March.
  71. Davis, George & Kanago, Bryce, 1998. "High and Uncertain Inflation: Results from a New Data Set," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 30(2), pages 218-230, May.
  72. Anindya Banerjee & Josep Lluis Carrion-i-Silvestre, 2011. "Testing for Panel Cointegration Using Common Correlated Effects," Discussion Papers 11-16, Department of Economics, University of Birmingham.
  73. Neil R. Ericsson, 2021. "Dynamic Econometrics in Action: A Biography of David F. Hendry," International Finance Discussion Papers 1311, Board of Governors of the Federal Reserve System (U.S.).
  74. Wolfgang Bühler & Olaf Korn, 2000. "Absicherung langfristiger Lieferverpflichtungen mit kurzfristigen Futures: Möglich oder unmöglich?," Schmalenbach Journal of Business Research, Springer, vol. 52(4), pages 315-347, June.
  75. Christian, Paul & Barrett, Christopher B., 2022. "Spurious Regressions and Panel IV Estimation: Revisiting the Causes of Conflict," I4R Discussion Paper Series 1, The Institute for Replication (I4R).
  76. Sheereen Fauzel & Boopen Seetanah & R.V. Sannassee, 2017. "Analysing the impact of tourism foreign direct investment on economic growth," Tourism Economics, , vol. 23(5), pages 1042-1055, August.
  77. Korniotis, George & Bhambhwani, Siddharth & Delikouras, Stefanos, 2019. "Blockchain Characteristics and the Cross-Section of Cryptocurrency Returns," CEPR Discussion Papers 13724, C.E.P.R. Discussion Papers.
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  80. Krzysztof Rybinski, 1997. "Testing Integration of Macroeconomic Time Series in Transitional Socialist Economies. A Modification of Perron Test," Economic Change and Restructuring, Springer, vol. 30(2), pages 127-179, May.
  81. Kalyvitis, Sarantis C., 1997. "Evaluating the real effects of devaluation expectations in Greece under alternative policies," Economic Modelling, Elsevier, vol. 14(2), pages 215-236, April.
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  84. Francesc Marmol, 1995. "SPURIOUS REGRESSIONS BETWEEN I(d) PROCESSES," Journal of Time Series Analysis, Wiley Blackwell, vol. 16(3), pages 313-321, May.
  85. Yuan, Chunming, 2011. "The exchange rate and macroeconomic determinants: Time-varying transitional dynamics," The North American Journal of Economics and Finance, Elsevier, vol. 22(2), pages 197-220, August.
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  87. Cosimo Magazzino, 2015. "Energy consumption and GDP in Italy: cointegration and causality analysis," Environment, Development and Sustainability: A Multidisciplinary Approach to the Theory and Practice of Sustainable Development, Springer, vol. 17(1), pages 137-153, February.
  88. Ziwei Mei & Zhentao Shi, 2022. "On LASSO for High Dimensional Predictive Regression," Papers 2212.07052, arXiv.org, revised Jan 2024.
  89. Monaco, Kristen A. & Brooks, Taggert J., 2001. "Deregulation and wages in trucking: A time series phenomenon -- A time series approach," Research in Transportation Economics, Elsevier, vol. 6(1), pages 55-69, January.
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  91. Cheng Hsiao, 2007. "Panel data analysis—advantages and challenges," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 16(1), pages 1-22, May.
  92. Kitamura, Yuichi & Phillips, Peter C. B., 1997. "Fully modified IV, GIVE and GMM estimation with possibly non-stationary regressors and instruments," Journal of Econometrics, Elsevier, vol. 80(1), pages 85-123, September.
  93. Ghulam Ghouse & Saud Ahmad Khan & Atiq Ur Rehman & Muhammad Ishaq Bhatti, 2021. "ARDL as an Elixir Approach to Cure for Spurious Regression in Nonstationary Time Series," Mathematics, MDPI, vol. 9(22), pages 1-15, November.
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  99. Pervaiz, Zahid & Chani, Muhammad Irfan & Jan, Sajjad Ahmad & Chaudhary, Amatul R., 2011. "Gender inequality and economic growth: a time series analysis for Pakistan," MPRA Paper 37176, University Library of Munich, Germany, revised 2011.
  100. Ferson, Wayne E. & Sarkissian, Sergei & Simin, Timothy, 2008. "Asset Pricing Models with Conditional Betas and Alphas: The Effects of Data Snooping and Spurious Regression," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 43(2), pages 331-353, June.
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  127. Xiao, Zhijie & Phillips, Peter C. B., 2002. "A CUSUM test for cointegration using regression residuals," Journal of Econometrics, Elsevier, vol. 108(1), pages 43-61, May.
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  129. Bouoiyour, Jamal & Selmi, Refk & Tiwari, Aviral Kumar & Shahbaz, Muhammad, 2015. "The nexus between oil price and Russia's real exchange rate: Better paths via unconditional vs conditional analysis," Energy Economics, Elsevier, vol. 51(C), pages 54-66.
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  132. Bellocchi, Alessandro & Travaglini, Giuseppe, 2023. "Can variable elasticity of substitution explain changes in labor shares?," Journal of Macroeconomics, Elsevier, vol. 76(C).
  133. Ghoshray, A., 2018. "The Dynamic Properties of Natural Resource Prices," 2018 Conference, July 28-August 2, 2018, Vancouver, British Columbia 277210, International Association of Agricultural Economists.
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