Spurious regressions driven by excessive volatility

C-Tier
Journal: Economics Letters
Year: 2011
Volume: 113
Issue: 3
Pages: 292-297

Authors (2)

Score contribution per author:

0.503 = (α=2.01 / 2 authors) × 0.5x C-tier

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

Abstract

This paper shows that the excessive volatility results in spurious regressions. The spuriousness can be driven by persistency in the error variances unlike the conventional spurious regressions that are generated by the persistency in the level of regression errors.

Technical Details

RePEc Handle
repec:eee:ecolet:v:113:y:2011:i:3:p:292-297
Journal Field
General
Author Count
2
Added to Database
2026-01-25