Spurious regressions with stationary processes around linear trends

Tae Hwan Kim, Young Sook Lee, Paul Newbold

Research output: Contribution to journalArticle

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 languageEnglish
Pages (from-to)257-262
Number of pages6
JournalEconomics Letters
Volume83
Issue number2
DOIs
Publication statusPublished - 2004 May 1

All Science Journal Classification (ASJC) codes

  • Economics and Econometrics
  • Finance

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