Spurious regression: A higher-order problem
This paper investigates solving the spurious regression problem using an autocorrelation correction. It is shown that if the relevant data generation processes contain higher-order terms, this solution is not as effective as in the first-order case.
Year of publication: |
2011
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Authors: | Sollis, Robert |
Published in: |
Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 111.2011, 2, p. 141-143
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Publisher: |
Elsevier |
Subject: | Spurious regression Cochrane-Orcutt Simulation |
Saved in:
Online Resource
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