Spurious regressions when stationary regressors are included

DOI10.1016/0165-1765(95)00728-8MaRDI QIDQ672763zbMATH OpenOpenAlexFDO

Authors Uwe Hassler

Publication date 28 February 1997

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0165-1765(95)00728-8

zbMATH Keywords

stationary time seriesIntegrated time seriesUnbalanced regressors

Mathematics Subject Classification ID

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

Recommendations

• Spurious Regressions with Time-Series Data: Further Asymptotic Results
• Spurious regression
• Spurious correlation of \(I(0)\) regressors in models with an \(I(1)\) dependent variable
• Spurious regressions with stationary processes around linear trends
• Spurious regressions between I(1) processes with long memory errors

Cites work

• Asymptotic Properties of Residual Based Tests for Cointegration
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Multiple Time Series Regression with Integrated Processes
• Spurious regressions and residual-based tests for cointegration when regressors are cointegrated
• Spurious regressions in econometrics
• The asymptotics of single-equation cointegration regressions with I(1) and I(2) variables
• Understanding spurious regressions in econometrics

Cited in

(9)

• Spurious multivariate regressions under fractionally integrated processes
• Spurious regression
• Spurious regression and lurking variables
• Spurious correlation of \(I(0)\) regressors in models with an \(I(1)\) dependent variable
• Spurios regression theory with nonstationary fractionally integrated processes
• Nonsense regressions due to neglected time-varying means
• Spurious regressions with stationary processes around linear trends
• Spurious nonlinear regressions in econometrics
• A simple solution for spurious regressions

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