Spurious regressions with stationary series

Clive W.J. Granger; Namwon Hyung; Yongil Jeon

doi:10.1080/00036840121734

Spurious regressions with stationary series

Clive W.J. Granger, Namwon Hyung, Yongil Jeon

School of Economics

University of California at San Diego

Research output: Contribution to journal › Article › peer-review

105 Scopus citations

Abstract

A spurious regression occurs when a pair of independent series, but with strong temporal properties, are found apparently to be related according to standard inference in an OLS regression. Although this is well known to occur with pairs of independent unit root processes, this paper finds evidence that similar results are found with positively autocorrelated autoregressive series or long moving averages. This occurs regardless of the sample size and for various distributions of the error terms.

Original language	English
Pages (from-to)	899-904
Number of pages	6
Journal	Applied Economics
Volume	33
Issue number	7
DOIs	https://doi.org/10.1080/00036840121734
State	Published - 2001

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abstract = "A spurious regression occurs when a pair of independent series, but with strong temporal properties, are found apparently to be related according to standard inference in an OLS regression. Although this is well known to occur with pairs of independent unit root processes, this paper finds evidence that similar results are found with positively autocorrelated autoregressive series or long moving averages. This occurs regardless of the sample size and for various distributions of the error terms.",

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AB - A spurious regression occurs when a pair of independent series, but with strong temporal properties, are found apparently to be related according to standard inference in an OLS regression. Although this is well known to occur with pairs of independent unit root processes, this paper finds evidence that similar results are found with positively autocorrelated autoregressive series or long moving averages. This occurs regardless of the sample size and for various distributions of the error terms.

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JO - Applied Economics

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Spurious regressions with stationary series

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