Nonsense regressions due to neglected time-varying means

DOI10.1007/s00362-003-0144-0zbMath1017.62077OpenAlexW1964382475MaRDI QIDQ1402942

Uwe Hassler

Publication date: 31 August 2003

Published in: Statistical Papers (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00362-003-0144-0

zbMATH Keywords

level shiftsspurious correlationsdeterministic seasonality

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (4)

Understanding nonsense correlation between (independent) random walks in finite samples ⋮ Spurious regression ⋮ Spurious correlation of \(I(0)\) regressors in models with an \(I(1)\) dependent variable ⋮ A simple solution for spurious regressions

Cites Work

• Spurious regressions when stationary regressors are included
• A note on computing \(r\)-squared and adjusted \(r\)-squared for trending and seasonal data
• Understanding spurious regressions in econometrics
• Spurious regressions in econometrics
• Spurios regression theory with nonstationary fractionally integrated processes
• Spurious regressions and residual-based tests for cointegration when regressors are cointegrated
• The asymptotics of single-equation cointegration regressions with I(1) and I(2) variables
• The asymptotic behaviour of the Dickey-Fuller tests under the crash hypothesis.
• The spurious regression of fractionally integrated processes
• Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data
• Spurious regressions between I(1) processes with long memory errors
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis

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