Unbalanced Regressions and Spurious Inference

Show more

References

[1] C. W. J. Granger and P. Newbold, “Spurious Regressions in Econometrics,” Journal of Econometrics, Vol. 2 No. 2, 1974, pp. 111-120. doi:10.1016/0304-4076(74)90034-7

[2] P. C. B. Phillips, “Understanding Spurious Regressions in Econometrics,” Journal of Econometrics, Vol. 33, No. 3, 1986, pp. 311-340. doi:10.1016/0304-4076(86)90001-1

[3] D. Ventosa-Santaulària, “Spurious Regression,” Journal of Probability and Statistics, Vol. 2009, No. 1, 2009, pp. 155-182. doi:10.1155/2009/802975

[4] A. E. Noriega and D. Ventosa-Santaulària, “Spurious Regression and Trending Variables,” Oxford Bulletin of Economics and Statistics, Vol. 69, No. 3, 2007, pp. 439- 444. doi:10.1111/j.1468-0084.2007.00481.x

[5] C. Stewart, “A Note on Spurious Significance in Regressions Involving I(0) and I(1) Variables,” Empirical Economics, Vol. 41, No. 3, 2011, pp. 565-571.
doi:10.1007/s00181-010-0404-5

[6] C. W. J. Granger IV, N. Hyung and Y. Jeon, “Spurious Regressions with Stationary Series,” Applied Economics, Vol. 33, No. 7, 2001, pp. 899-904.

[7] T. Mikosch and C. G. Vries, “Tail Probabilities for Regression Estimators,” Tinbergen Institute Discussion Papers, TI 2006-085/2, 2006.

[8] P. Perron, “The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis,” Econometrica, Vol. 57, No. 6, 1989, pp. 1631-1401. doi:10.2307/1913712

[9] W. J. Tsay and C. F. Chung, “The Spurious Regression of Fractionally Integrated Processes,” Journal of Econometrics, Vol. 96, No. 1, 2000, pp. 155-182.
doi:10.1016/S0304-4076(99)00056-1

[10] B. T. McCallum, “Is the Spurious Regression Problem Spurious?” Economics Letters, Vol. 107, No. 3, 2010, pp. 321-323. doi:10.1016/j.econlet.2010.02.004

[11] Y. Sun, “A Convergent T-Statistic in Spurious Regressions,” Econometric Theory, Vol. 20, No. 5, 2004, pp. 943-962. doi:10.1017/S0266466604205072

[12] G. I. Kolev, “The ‘Spurious Regression Problem’ in the Classical Regression Model Framework,” Economics Bulletin, Vol. 31, No. 1, 2011, pp. 925-937.

[13] B. Martínez-Rivera and D. Ventosa-Santaulària, “A Comment on ‘Is the Spurious Regression Problem Spurious?’” Economics Letters, Vol. 115, No. 2, 2012, pp. 229-231.

[14] D. Davidson and J. G. MacKinnon, “Econometric Theory and Methods,” Oxford University Press, New York, 2004.