Spurious correlation of \(I(0)\) regressors in models with an \(I(1)\) dependent variable

DOI10.1016/j.econlet.2005.11.014zbMath1254.91623OpenAlexW2009972680MaRDI QIDQ1929090

Chris Stewart

Publication date: 7 January 2013

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2005.11.014

zbMATH Keywords

simulationspurious regressionstationary regressors

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) Statistical methods; economic indices and measures (91B82)

Related Items (2)

Spurious regression between long memory series due to mis-specified structural breaks ⋮ A simple solution for spurious regressions

Cites Work

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• A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems
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• Spurious regressions in econometrics
• Spurios regression theory with nonstationary fractionally integrated processes
• The asymptotics of single-equation cointegration regressions with I(1) and I(2) variables
• Random walks with drifts: Nonsense regression and spurious fixed-effect estimation
• Nonsense regressions due to neglected time-varying means
• Spurious regressions with stationary processes around linear trends
• The spurious regression of fractionally integrated processes
• Trends versus Random Walks in Time Series Analysis
• SPURIOUS REGRESSIONS BETWEEN I(d) PROCESSES

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