This paper analyses the asymptotic and finite sample implications of a mixed nonstationary behavior among the dependent and explanatory variables in a linear spurious regression model. We study the cases when the nonstationarity in the dependent variable is deterministic (stochastic), while the...

We study the phenomenon of spurious regression between two random variables,when the generating mechanism of individual series is assumed to follow a stationary process around a trend with (possibly) multiple breaks in the level and slope of trend. We develop the relevant asymptotic theory and...

We study the phenomenon of spurious regression between two random variables when the generating mechanism for individual series follows a stationary process around a trend with (possibly) multiple breaks in its level and slope. We develop relevant asymptotic theory and show that spurious...