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

Access to Document

10.1016/j.econlet.2003.10.020

Cite this

@article{4f956ecea35545e59b63aad3a0be0757,

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",

month = may,

doi = "10.1016/j.econlet.2003.10.020",

language = "English",

volume = "83",

pages = "257--262",

journal = "Economics Letters",

issn = "0165-1765",

publisher = "Elsevier",

number = "2",

}

TY - JOUR

T1 - Spurious regressions with stationary processes around linear trends

AU - Kim, Tae Hwan

AU - Lee, Young Sook

AU - Newbold, Paul

PY - 2004/5

Y1 - 2004/5

N2 - 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.

AB - 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.

UR - http://www.scopus.com/inward/record.url?scp=1542613349&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=1542613349&partnerID=8YFLogxK

U2 - 10.1016/j.econlet.2003.10.020

DO - 10.1016/j.econlet.2003.10.020

M3 - Article

AN - SCOPUS:1542613349

VL - 83

SP - 257

EP - 262

JO - Economics Letters

JF - Economics Letters

SN - 0165-1765

IS - 2

ER -

Spurious regressions with stationary processes around linear trends

Abstract

All Science Journal Classification (ASJC) codes

Access to Document

Other files and links

Fingerprint

Cite this