Spurious regressions with stationary series

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

Research output: Contribution to journalArticlepeer-review

104 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 languageEnglish
Pages (from-to)899-904
Number of pages6
JournalApplied Economics
Volume33
Issue number7
DOIs
StatePublished - 2001

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