SPURIOUS REGRESSION: CONCEPT AND SOME RESULTS

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SAMADI A.H.

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Journal: Iranian Journal of Economic Research Year:2007 | Volume:- | Issue:32 Page(s): 111-136

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Title

SPURIOUS REGRESSION: CONCEPT AND SOME RESULTS

Author(s)

SAMADI A.H. | Issue Writer Certificate

Keywords

TIME SERIESQ3

SPURIOUS REGRESSIONQ3

Abstract

Granger and Newbold (1974) proposed the idea of SPURIOUS REGRESSION in econometrics. They showed that with 1(1) dependent and independent variables, if a regression model is estimated by OLS method, the results may be spurious. This idea is extended to variables with different order of integration. In this paper, we review the literature of SPURIOUS REGRESSION and show that when the variables have different order of integration, for example I(1) & 1(2), and I( 1)& 1(0), the spurious results may occur.

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APA: Copy

SAMADI, A.H.. (2007). SPURIOUS REGRESSION: CONCEPT AND SOME RESULTS. IRANIAN ECONOMIC RESEARCH, -(32), 111-136. SID. https://sid.ir/paper/2810/en

Vancouver: Copy

SAMADI A.H.. SPURIOUS REGRESSION: CONCEPT AND SOME RESULTS. IRANIAN ECONOMIC RESEARCH[Internet]. 2007;-(32):111-136. Available from: https://sid.ir/paper/2810/en

IEEE: Copy

A.H. SAMADI, “SPURIOUS REGRESSION: CONCEPT AND SOME RESULTS,” IRANIAN ECONOMIC RESEARCH, vol. -, no. 32, pp. 111–136, 2007, [Online]. Available: https://sid.ir/paper/2810/en

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