it clear that first differencing is not the universal sure fire solution to problem of spurious regression models. This … econometricians are debating with the problem of spurious regression model when the co movements between the variables are different …

and explanatory variables in a linear spurious regression model. We study the cases when the nonstationarity in the … (deterministic). In particular, we derive the asymptotic distribution of statistics in a spurious regression equation when one … spurious regression itself, contrary to previous findings, depends on the presence of a linear trend in the regression equation …

We study the phenomenon of spurious regression between two random variables,when the generating mechanism of individual … trend. We develop the relevant asymptotic theory and show that the phenomenon of spurious regression occurs independently of … phenomenon of spurious regression is sensitive to the presence of a linear trend in the regression model, and to the relative …

We study the phenomenon of spurious regression between two random variables when the generating mechanism for … relevant asymptotic theory and show that spurious regression occurs independently of the structure assumed for the errors. In … model includes a linear trend. Simulations confirm our asymptotic results and reveal that, in finite samples, the spurious …

industrial and developing countries; (iv) Purchasing Power Parity for traded and non-traded goods. Keywords: Spurious regression … technically called a spurious regression. This is because the standard t-test tends to be spuriously significant even when the … to show that the spurious regression phenomenon occurs with regressions involving unit-root nonstationary variables (see …

McCallum (2010) presented evidence that the spurious regression problem can be solved by standard means. We show using … finite-sample evidence that the spurious regression problem cannot always be fixed using standard autocorrelation correction …

presented within this paper indicate that HP filtered series give seriously rise to spurious regression results. …

spurious regression problem. A simulation procedure is utilized to take account of a spurious correlation that compounds the … spurious regression problem when the dependent and independent variables in a time series regression are ratios composed of … dividend behaviour model that is not subject to spurious regression. …

regression reduces to a spurious regression. Roughly, this occurs when the heteroskedas- ticity becomes explosive and strong, and … for the OLS estimator becomes faster. There is no possibility that NNH in the errors induces the spurious regression. This … and phrases: volatility, nonstationary nonlinear heteroskedasticity, regression with heteroskedastic errors, spurious …