Partial unit root and linear spurious regression: A Monte Carlo simulation study

In this paper, we consider both the partial unit root and the near partial unit root processes in nonlinear transition autoregression models. Our simulations show that when these time series data are used in ordinary least squares regression, spurious regression occurs. However, if we re-estimate the regression by adding an AR(1) term, spurious regression can almost be eliminated.

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Year of publication:	2013
Authors:	Zhang, Lingxiang
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 118.2013, 1, p. 189-191
Publisher:	Elsevier
Subject:	Partial unit root \| Spurious regression \| Monte Carlo simulation

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Type of publication:	Article
Classification:	C12 - Hypothesis Testing ; C32 - Time-Series Models ; C52 - Model Evaluation and Testing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010603128