Title: Is the spurious regression problem spurious?
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.