Spurious regressions in econometrics
From MaRDI portal
Publication:1222926
DOI10.1016/0304-4076(74)90034-7zbMath0319.62072OpenAlexW2144380346WikidataQ29012906 ScholiaQ29012906MaRDI QIDQ1222926
Clive W. J. Granger, Paul Newbold
Publication date: 1974
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0304-4076(74)90034-7
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05)
Related Items
Testing for Panel Cointegration Using Common Correlated Effects Estimators ⋮ AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING ⋮ Using COGARCH-Filtered Volatility in Modelling Within ARDL Framework ⋮ CONSISTENT LOCAL SPECTRUM INFERENCE FOR PREDICTIVE RETURN REGRESSIONS ⋮ The dynamics of leveraged ETFs returns: a panel data study ⋮ MODELING LONGEVITY RISK WITH GENERALIZED DYNAMIC FACTOR MODELS AND VINE-COPULAE ⋮ Most stringent test of independence for time series ⋮ Spurious regression between long memory series due to mis-specified structural breaks ⋮ Testing for ar(1) against ima(1,1) disturbances in the linear regression model ⋮ COINTEGRATION AND COMMON FACTORS ⋮ A stable aggregate currency revisited: highlighting some fundamental issues ⋮ A revisit to sovereign risk contagion in eurozone with mutual exciting regime-switching model ⋮ Pre-selection in cointegration-based pairs trading ⋮ What drives population ageing? A cointegration analysis ⋮ Nonstationary regression models with a lagged dependent variable ⋮ Nonstationary regression models with a lagged dependent variable ⋮ Testing for spurious and cointegrated regressions: A wavelet approach ⋮ Response to the comment on testing for spurious and cointegrated regressions: a wavelet approach ⋮ A CONVERGENT t-STATISTIC IN SPURIOUS REGRESSIONS ⋮ Residuals‐based tests for the null of no‐cointegration: an Analytical comparison ⋮ Modelling market shares by segments using volatility ⋮ Nonlinear error correction models ⋮ Finite sample properties of nonstationary binary response models: A monte carlo analysis ⋮ A Bayesian analysis of log-periodic precursors to financial crashes ⋮ The endo–exo problem in high frequency financial price fluctuations and rejecting criticality ⋮ Evidence of ARCH(1) Errors in the Context of Spurious Regressions ⋮ Is the Variance Swap Rate Affine in the Spot Variance? Evidence from S&P500 Data ⋮ Inferring fundamental value and crash nonlinearity from bubble calibration ⋮ COMPETING VIEWS OF THE MONEY SUPPLY PROCESS: THEORY AND EVIDENCE ⋮ A New Method of Regression of Time-series Based on a Mathematical Connection Between Path and Compartmental Analyses ⋮ LATENT VARIABLE NONPARAMETRIC COINTEGRATING REGRESSION ⋮ Unnamed Item ⋮ Nonstationary panel data analysis: an overview of some recent developments ⋮ Bootstrap methods for heteroskedastic regression models: evidence on estimation and testing ⋮ Unnamed Item ⋮ Unnamed Item ⋮ The spurious regression of AR(\(p\)) infinite-variance sequence in the presence of structural breaks ⋮ A new approximate point optimal test of a composite null hypothesis ⋮ Understanding nonsense correlation between (independent) random walks in finite samples ⋮ Multivariate trend function testing with mixed stationary and integrated disturbances ⋮ Understanding spurious regressions in econometrics ⋮ Nonstationary nonlinear heteroskedasticity in regression ⋮ Robust estimation for structural spurious regressions and a Hausman-type cointegration test ⋮ Co-integration testing using local-to-unity detrending: the impact of structural change under the null ⋮ Parameter estimation in regression models with errors in the vairables and autocorrelated disturbances ⋮ The asymptotics of single-equation cointegration regressions with I(1) and I(2) variables ⋮ Cointegration analysis with state space models ⋮ Estimating cointegration parameters: An application of the double bootstrap ⋮ Methods of analyzing nonstationary time series with implicit changes in their properties ⋮ A simple message for autocorrelation correctors: Don't ⋮ Spurious functional-coefficient regression models and robust inference with marginal integration ⋮ On the specification and estimation of large scale simultaneous structural macroeconometric models ⋮ Unit root testing ⋮ Structural vector autoregressive analysis for cointegrated variables ⋮ Random walks with drifts: Nonsense regression and spurious fixed-effect estimation ⋮ A threshold cointegration test with increased power ⋮ Alternative methods of detrending and the power of unit root tests ⋮ Spurious regression due to neglected of non-stationary volatility ⋮ What determines the share of non-resident public debt ownership? Evidence from Euro area countries ⋮ On spurious regressions with partial unit root processes ⋮ A new approach to unit root testing ⋮ The long-run determinants of fertility: one century of demographic change 1900--1999 ⋮ Linear Methods for Estimating Arma and Regression Models with Serial Correlation ⋮ Spurious regression ⋮ Macroeconomic effects on mortality revealed by panel analysis with nonlinear trends ⋮ Measuring benchmark damages in antitrust litigation: extensions and practical implications ⋮ Logarithmic spurious regressions ⋮ Spurious regressions with stationary processes around linear trends ⋮ Spurious nonlinear regressions in econometrics ⋮ A method for integrated process simulation in the mining industry ⋮ Spurious regressions between stationary generalized long memory processes ⋮ Spurious correlation of \(I(0)\) regressors in models with an \(I(1)\) dependent variable ⋮ Testing the persistence of the forward premium: structural changes or misspecification? ⋮ Fiscal episodes and market power ⋮ Bootstrapping Autoregression under Non-stationary Volatility ⋮ Multicointegration under measurement errors ⋮ A Bayesian nonparametric approach for time series clustering ⋮ Analytical evaluation of the power of tests for the absence of cointegration ⋮ Nonsense regressions due to neglected time-varying means ⋮ How does monetary policy influence capital markets? Using a threshold regression model ⋮ Spurious regressions driven by excessive volatility ⋮ Modeling threshold effects in stock price co-movements: a vector nonlinear cointegration approach ⋮ A simple solution of the spurious regression problem ⋮ Market concentration and market power of the Swedish mortgage sector -- a wavelet panel efficiency analysis ⋮ The relationship between budgetary expenditure and economic growth in Poland ⋮ Price discovery, causality and forecasting in the freight futures market ⋮ Spurious spatial regression with equal weights ⋮ Spurious regression and lurking variables ⋮ On the behavior of inconsistent instrumental variable estimators ⋮ A note on spurious regression in seasonal time series ⋮ Robust inference for spurious regressions and cointegrations involving processes moderately deviated from a unit root ⋮ The spurious regression of fractionally integrated processes ⋮ Bootstrapping impulse responses of structural vector autoregressive models identified through GARCH ⋮ The scale of predictability ⋮ Spurious regressions when stationary regressors are included ⋮ Co-integration and trend-stationarity in macroeconomic time series. Evidence from the likelihood function ⋮ Cointegration testing under structural change: reducing size distortions and improving power of residual based tests ⋮ Spurious regressions in technical trading ⋮ A statistical analysis of multiple temperature proxies: are reconstructions of surface temperatures over the last 1000 years reliable? ⋮ Challenges of trending time series econometrics ⋮ The failure of orthogonality under nonstationarity: should we care about it? ⋮ Spurious correlation under fractional integration in output series ⋮ Forecasting in dynamic models with stochastic regressors ⋮ Testing for spurious regression in a panel data model with the individual number and time length growing ⋮ The unbiasedness hypothesis in the freight forward market: Evidence from cointegration tests ⋮ A strategy for testing the unit root in AR(1) model with intercept: a Monte Carlo experiment ⋮ Spurious Regressions with Time-Series Data: Further Asymptotic Results ⋮ Testing for cointegration in the presence of mis-specified structural change ⋮ Can log-periodic power law structures arise from random fluctuations? ⋮ Causality in temporal systems. Characterizations and a Survey ⋮ Detecting log-periodicity in a regime-switching model of stock returns ⋮ Spurious regressions with high-order models: a reconsideration ⋮ Consistent inference for predictive regressions in persistent economic systems ⋮ The topology of overlapping portfolio networks ⋮ Estimation of a non-invertible moving average process: the case of overdifferencing ⋮ Estimating the functional form of road traffic maturity ⋮ THE NEW KEYNESIAN PHILLIPS CURVE IN A TIME-VARYING COEFFICIENT ENVIRONMENT: SOME EUROPEAN EVIDENCE ⋮ A simple solution for spurious regressions ⋮ LOCAL LIMIT THEORY AND SPURIOUS NONPARAMETRIC REGRESSION ⋮ THE PROPERTIES OF KULLBACK–LEIBLER DIVERGENCE FOR THE UNIT ROOT HYPOTHESIS ⋮ TESTING THE NULL OF NO COINTEGRATION WHEN COVARIATES ARE KNOWN TO HAVE A UNIT ROOT ⋮ NONPARAMETRIC SPECIFICATION TESTING FOR NONLINEAR TIME SERIES WITH NONSTATIONARITY ⋮ On the formulation of empirical models in dynamic econometrics ⋮ Credit, income, and causality: a contemporary co-integration analysis ⋮ Pitfalls in market timing test ⋮ Pitfalls in testing for long run relationships ⋮ Spurios regression theory with nonstationary fractionally integrated processes ⋮ Are saving and investment cointegrated? An ARDL bounds testing approach. ⋮ Testing for parameter instability and structural change in persistent predictive regressions ⋮ The spurious effect of unit roots on vector autoregressions. An analytical study ⋮ Spurious Regression Under Broken-Trend Stationarity ⋮ A note on computing \(r\)-squared and adjusted \(r\)-squared for trending and seasonal data ⋮ Spurious regressions and residual-based tests for cointegration when regressors are cointegrated ⋮ PETER C.B. PHILLIPS’S CONTRIBUTIONS TO PANEL DATA METHODS
Cites Work