Spurious regressions with stationary processes around linear trends

Tae Hwan Kim; Young Sook Lee; Paul Newbold

doi:10.1016/j.econlet.2003.10.020

Spurious regressions with stationary processes around linear trends

Tae Hwan Kim, Young Sook Lee, Paul Newbold

Department of Economics

Research output: Contribution to journal › Article › peer-review

26 Citations (Scopus)

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
Pages (from-to)	257-262
Number of pages	6
Journal	Economics Letters
Volume	83
Issue number	2
DOIs	https://doi.org/10.1016/j.econlet.2003.10.020
Publication status	Published - 2004 May

All Science Journal Classification (ASJC) codes

Finance
Economics and Econometrics

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title = "Spurious regressions with stationary processes around linear trends",

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.",

author = "Kim, {Tae Hwan} and Lee, {Young Sook} and Paul Newbold",

year = "2004",

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AU - Kim, Tae Hwan

AU - Lee, Young Sook

AU - Newbold, Paul

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EP - 262

JO - Economics Letters

JF - Economics Letters

SN - 0165-1765

IS - 2

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Spurious regressions with stationary processes around linear trends

Abstract

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