Abstract
This paper analyzes spurious regression phenomenon involving AR(p) stable processes with trend breaks. It shows that when those time series are used in ordinary least squares regression, the convenient t-ratios procedures wrongly indicate that the spurious relationship is present as the pair of independent stable series contains trend changes. The spurious relationship becomes stronger as the sample size approaches to infinite. As a result, spurious effects might occur more often than we previously believed as they can arise even between AR(p) stable series in present of trend breaks.
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