Abstract
In this paper we consider the situation where the deterministic components of the processes generating individual series are linear trends and the individual series are independent I(0) processes. We show that when those time series are used in ordinary least squares regression, the phenomenon of spurious regression occurs.
Original language | English |
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Pages (from-to) | 257-262 |
Number of pages | 6 |
Journal | Economics Letters |
Volume | 83 |
Issue number | 2 |
DOIs | |
Publication status | Published - 2004 May |
All Science Journal Classification (ASJC) codes
- Finance
- Economics and Econometrics