Spurious regression: A higher-order problem

This paper investigates solving the spurious regression problem using an autocorrelation correction. It is shown that if the relevant data generation processes contain higher-order terms, this solution is not as effective as in the first-order case.

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Year of publication:	2011
Authors:	Sollis, Robert
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 111.2011, 2, p. 141-143
Publisher:	Elsevier
Subject:	Spurious regression Cochrane-Orcutt Simulation

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

Persistent link: https://www.econbiz.de/10009018791