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Spurious Regressions with Stationary Series

Author

Listed:
  • Granger, Clive W.J.
  • Hyung, Namwon
  • Jeon, Yongil
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 on long moving averages. This occurs regardless of the sample size and for various distributions of the error terms.

Suggested Citation

  • Granger, Clive W.J. & Hyung, Namwon & Jeon, Yongil, 1998. "Spurious Regressions with Stationary Series," University of California at San Diego, Economics Working Paper Series qt7r3353t8, Department of Economics, UC San Diego.
    • Handle: RePEc:cdl:ucsdec:qt7r3353t8
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    References listed on IDEAS

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    6. Newey, Whitney & West, Kenneth, 2014. "A simple, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 33(1), pages 125-132.
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