known “rule of thumb” of how to identify spurious regressions. We also demonstrated the problem of spurious regression on a …

The spurious regression phenomenon, identified by Granger and Newbold (1974) is well known in econometrics. In fact …, spurious regression occurs under a wide variety of Data Generating Processes: driftless unit root, unit root with drift, trend … model expectations. Our results extend the common knowledge concerning spurious regression usually found in popular …

earlier work on linear spurious regression (Phillips, 1986), showing that the key behavioral characteristics of statistical … significance, low DW ratios and moderate to high R^2 continue to apply locally in nonparametric spurious regression. Some further …

The spurious regression phenomenon in Least Squares occurs for a wide range of Data Generating Processes, such as …-correction models. This paper provides an overview of results about spurious regression, pulled from disperse sources, and explains …

Spurious regression phenomenon has been recognized for a wide range of Data Generating Processes: driftless unit roots …

problem of spurious regression. When existent, cointegration is the simplest way of eliminating the illogical correlation …

usually needed for consistent estimation for a linear (spurious) regression model, or a semiparametric varying coefficient …