Is the spurious regression problem spurious?

被引：26

作者：

McCallum, Bennett T. ^{[1
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机构：

[1] Carnegie Mellon Univ, Tepper Sch 256, Pittsburgh, PA 15213 USA

[2] Natl Bur Econ Res, Cambridge, MA 02138 USA

来源：

ECONOMICS LETTERS | 2010年 / 107卷 / 03期

关键词：

Spurious regression; Autocorrelation; Random-walk; Simulations;

D O I：

10.1016/j.econlet.2010.02.004

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

So-called "spurious regression" relationships are generally accompanied by clear signs of residual autocorrelation. A conscientious researcher would likely re-estimate with an autocorrelation correction. Simulations indicate that resulting test statistics are close to true values, so do not yield spurious results. (C) 2010 Elsevier B.V. All rights reserved.

引用

页码：321 / 323

页数：3

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