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

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 1

All Science Journal Classification (ASJC) codes

Economics and Econometrics
Finance

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Kim, T. H., Lee, Y. S., & Newbold, P. (2004). Spurious regressions with stationary processes around linear trends. Economics Letters, 83(2), 257-262. https://doi.org/10.1016/j.econlet.2003.10.020

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