On spurious regressions with partial unit root processes

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• 作者：Yundong Tu ^{yundong.tu@gsm.pku.edu.cn}
• 关键词：C12 ; C32 ; C52
• 刊名：Economics Letters
• 出版年：2017
• 出版时间：January 2017
• 年：2017
• 卷：150
• 期：Complete
• 页码：142-145
• 全文大小：416 K
• 卷排序：150

文摘

This paper considers spurious regressions with partial unit root and near partial unit root processes. Three models are investigated via simulations to study the rejection probability of the associated tt-statistics in detecting the spurious correlation. The results reveal that the spurious regression is a not-so-spurious problem, which cannot be eliminated by adding AR(1) errors in re-estimation. The advocated balanced regression approach is found effective in detecting the non-existent relationship.