Is the spurious regression problem spurious?

So-called "spurious regression" relationships are generally accompanied by clear signs of residual autocorrelation. A conscientious researcher would likely re-estimate with an autocorrelation correction. Simulations indicate that resulting test statistics are close to true values, so do not yield spurious results.

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Year of publication:	2010
Authors:	McCallum, Bennett T.
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 107.2010, 3, p. 321-323
Publisher:	Elsevier
Subject:	Spurious regression Autocorrelation Random-walk Simulations

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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