Spurious Regression

被引：30

作者：

Ventosa-Santaularia, D. ^{[1
]}

机构：

[1] Univ Guanajuato, Dept Econ & Finanzas, DCEA Campus Marfil Fracc I, Guanajuato 36250, Mexico

来源：

JOURNAL OF PROBABILITY AND STATISTICS | 2009年 / 2009卷

关键词：

D O I：

10.1155/2009/802975

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：

The spurious regression phenomenon in least squares occurs for a wide range of data generating processes, such as driftless unit roots, unit roots with drift, long memory, trend and broken-trend stationarity. Indeed, spurious regressions have played a fundamental role in the building of modern time series econometrics and have revolutionized many of the procedures used in applied macroeconomics. Spin-offs from this research range from unit-root tests to cointegration and error-correction models. This paper provides an overview of results about spurious regression, pulled from disperse sources, and explains their implications. Copyright (C) 2009 D. Ventosa-Santaularia.

引用

页数：27

共 177 条

[1]

ADELMAN I, 1965, AM ECON REV, V55, P444

[2] Correlations genuine and spurious in Pearson and Yule [J].