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A comment on ‘Is the spurious regression problem spurious?’

McCallum (2010) presented evidence that the spurious regression problem can be solved by standard means. We show using finite-sample evidence that the spurious regression problem cannot always be fixed using standard autocorrelation correction procedures and remains, therefore, a not-so-spurious problem.
Year of publication:
2012
Authors: Martínez-Rivera, Berenice ; Ventosa-Santaulària, Daniel
Published in:
Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 115.2012, 2, p. 229-231
Publisher: Elsevier
Subject: Spurious regression | Autocorrelation | Random-walk | Breaks | Long-memory
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Type of publication: Article
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Persistent link: https://www.econbiz.de/10011041835
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