Martínez-Rivera, Berenice; Ventosa-Santaulària, Daniel - In: Economics Letters 115 (2012) 2, pp. 229-231
McCallum (2010) presented evidence that the spurious regression problem can be solved by standard means. We show using finite-sample evidence that the spurious regression problem cannot always be fixed using standard autocorrelation correction procedures and remains, therefore, a not-so-spurious...