Understanding spurious regressions in econometrics

DOI10.1016/0304-4076(86)90001-1zbMath0602.62098OpenAlexW2114151293MaRDI QIDQ1082027

Publication date: 1986

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://cowles.yale.edu/sites/default/files/files/pub/d07/d0757.pdf

zbMATH Keywords

asymptotic theory ARIMA coefficient of determination regression diagnostics multiple regressions autocorrelated residuals Box-Pierce statistic cointegrating regressions F-ratio test integrated random processes spurious regressions t-ratio significance test vector integrated process

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

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