Abstract
The spurious regression phenomenon in least squares occurs for a wide range of data generating processes, such as driftless unit roots, unit roots with drift, long memory, trend and broken‐trend stationarity. Indeed, spurious regressions have played a fundamental role in the building of modern time series econometrics and have revolutionized many of the procedures used in applied macroeconomics. Spin‐offs from this research range from unit‐root tests to cointegration and error‐correction models. This paper provides an overview of results about spurious regression, pulled from disperse sources, and explains their implications.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callSimilar Papers
More From: Journal of Probability and Statistics
Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
