return predictive regression analyzed by Ferson, Sarkissian and Simin (2003a). Our theory explains all the findings of Ferson … et al (2003a) and confirms the theoretical possibility of a spurious regression bias. The theory developed in the paper … simple diagnostic test to detect potential spurious regression bias in empirical analysis. The test is applied to four …

diagnostics in a linear regression. It is particularly useful under a large or massive sample size, where a conventional test …

joint effects of data snooping and spurious regression. We find that the regressions are reasonably well specified for …