Spurious regression and lurking variables

We present asymptotic and finite-sample arguments to study the spurious regression problem. This problem may be solved by introducing a lurking variable in the specification even if it is merely a proxy variable. Moreover, this approach is also valid if the lurking variable is a trending mechanism, as when the spurious regression is due to nonstationarities in the variables.

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Year of publication:	2011
Authors:	García-Belmonte, Lizeth ; Ventosa-Santaulària, Daniel
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 81.2011, 12, p. 2004-2010
Publisher:	Elsevier
Subject:	Spurious regression \| Lurking variable \| Trending mechanism

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

Persistent link: https://www.econbiz.de/10011040043