Zaldivar, Manuel Gómez; Castro, Oscar Manjarrez; … - In: Ensayos Revista de Economia XXVIII (2009) 1, pp. 1-20
The spurious regression phenomenon, identified by Granger and Newbold (1974) is well known in econometrics. In fact …, spurious regression occurs under a wide variety of Data Generating Processes: driftless unit root, unit root with drift, trend … specification to be estimated is a simple linear regression with a single regressand. We prove in this article that the spurious …