Is the spurious regression problem spurious?
By: Bennett T. McCallum.
Contributors: National Bureau of Economic Research.
Series: NBER working paper series -- working paper 15690; Working paper series (National Bureau of Economic Research : Online) -- working paper no. 15690.
Publisher: National Bureau of Economic Research
Published: 2010
Place of publication: Cambridge, MA
Language: eng
Format: Electronic resource
Description: "So-called 'spurious regression' relationships between random-walk (or strongly autoregressive) variables are generally accompanied by clear signs of severe autocorrelation in their residuals.  A conscientious researcher would therefore not end an investigation with such a result, but would likely re-estimate with an autocorrelation correction.  Simulations show, for several typical cases, that the test-rejection statistics for the re-estimated relationships are very close to the true values, so do not yield results of the spurious type"--National Bureau of Economic Research web site.
Notes: Title from PDF file as viewed on 3/2/2010.

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