What is spurious correlation? a reply to Diaz and Osuna

被引：5

作者：

Kliman, Andrew ^{[1
]}

机构：

[1] Pace Univ, Dept Econ, Pleasantville, NY USA

来源：

JOURNAL OF POST KEYNESIAN ECONOMICS | 2008年 / 31卷 / 02期

关键词：

aggregation problem; price; spurious correlation; value;

D O I：

10.2753/PKE0160-3477310208

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

Studies by the author showed that strong cross-sectional correlations between industry-level values and prices are spurious. Diaz and Osuna (2005-6) challenged this finding, arguing that the correlation results are fatally indeterminate, and that the author's procedure for eliminating spurious correlation destroys the value price correlation because of its differential effect on the variables' standard deviations. Replying to these claims, this note argues that the charge of indeterminacy stems from Diaz and Osuna's misunderstanding of the concept of spurious correlation, and that the author's procedure causes the value-price correlation to vanish because the correlation is spurious.

引用

页码：345 / 356

页数：12