1. Spurious Regression: Concept and Some Results
- Author
-
Ali Hossein Samadi
- Subjects
time series ,spurious regression ,Business ,HF5001-6182 ,Capital. Capital investments ,HD39-40.7 - Abstract
Granger and Newbold (1974) proposed the idea of spurious regression in econometrics. They showed that with I(1) dependent and independent variables, if a regression model is estimated by OLS method, the results may be spurious. This idea is extended to variables with different order of integration. In this paper , we review the literature of spurious regression and show that when the variables have different order of integration , for example I(1) & I(2) , and I(1) & I(0) , the spurious results may occur.
- Published
- 2007