Spurious regressions with stationary series

C-Tier
Journal: Applied Economics
Year: 2001
Volume: 33
Issue: 7
Pages: 899-904

Authors (3)

Clive Granger Namwon Hyung (not in RePEc) Yongil Jeon (not in RePEc)

Score contribution per author:

0.335 = (α=2.01 / 3 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

A spurious regression occurs when a pair of independent series, but with strong temporal properties, are found apparently to be related according to standard inference in an OLS regression. Although this is well known to occur with pairs of independent unit root processes, this paper finds evidence that similar results are found with positively autocorrelated autoregressive series or long moving averages. This occurs regardless of the sample size and for various distributions of the error terms.

Technical Details

RePEc Handle
repec:taf:applec:v:33:y:2001:i:7:p:899-904
Journal Field
General
Author Count
3
Added to Database
2026-01-25