Is the spurious regression problem spurious?
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.
Year of publication: |
2010
|
---|---|
Authors: | McCallum, Bennett T. |
Published in: |
Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 107.2010, 3, p. 321-323
|
Publisher: |
Elsevier |
Subject: | Spurious regression Autocorrelation Random-walk Simulations |
Saved in:
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