Spurious regression and lurking variables

被引：10

作者：

Garcia-Belmonte, Lizeth ^{[1
]}

Ventosa-Santaularia, Daniel ^{[1
]}

机构：

[1] Univ Guanajuato, Guanajuato, Mexico

来源：

STATISTICS & PROBABILITY LETTERS | 2011年 / 81卷 / 12期

基金：

新加坡国家研究基金会;

关键词：

Spurious regression; Lurking variable; Trending mechanism;

D O I：

10.1016/j.spl.2011.08.015

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We present asymptotic and finite-sample arguments to study the spurious regression problem. This problem may be solved by introducing a lurking variable in the specification even if it is merely a proxy variable. Moreover, this approach is also valid if the lurking variable is a trending mechanism, as when the spurious regression is due to nonstationarities in the variables. (C) 2011 Elsevier B.V. All rights reserved.

引用

页码：2004 / 2010

页数：7

共 8 条

[1]

Granger C.W.J., 1974, J ECONOMETRICS, V2, P11

[2] Simple regressions with linear time trends [J].