Spurious Regressions with Stationary Series
University of California at San Diego, Department of Economics Discussion Paper No. 98-25
Posted: 12 Mar 1999
Date Written: October 1998
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 on long moving averages. This occurs regardless of the sample size and for various distributions of the error terms.
JEL Classification: C22
Suggested Citation: Suggested Citation
Granger, Clive W. J. and Hyung, Namwon and Jeon, Yongil, Spurious Regressions with Stationary Series (October 1998). University of California at San Diego, Department of Economics Discussion Paper No. 98-25, Available at SSRN: https://ssrn.com/abstract=145801
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