Spurious regressions with high-order models: A reconsideration

Lingxiang Zhang

doi:10.1016/j.econlet.2018.04.007

Spurious regressions with high-order models: A reconsideration

Lingxiang Zhang

Research output: Contribution to journal › Article › peer-review

1 Citation (Scopus)

Abstract

This paper reconsiders spurious regressions with high-order processes by using a balanced regression approach. Results show that if the balanced orders adopted in a regression model are greater than the truly largest lag of regressand and regressor data generation processes, then spurious regressions can be eliminated.

Original language	English
Pages (from-to)	70-72
Number of pages	3
Journal	Economics Letters
Volume	168
DOIs	https://doi.org/10.1016/j.econlet.2018.04.007
Publication status	Published - Jul 2018

Keywords

Balanced regression
High-order models
Spurious regression

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10.1016/j.econlet.2018.04.007

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title = "Spurious regressions with high-order models: A reconsideration",

abstract = "This paper reconsiders spurious regressions with high-order processes by using a balanced regression approach. Results show that if the balanced orders adopted in a regression model are greater than the truly largest lag of regressand and regressor data generation processes, then spurious regressions can be eliminated.",

keywords = "Balanced regression, High-order models, Spurious regression",

author = "Lingxiang Zhang",

note = "Publisher Copyright: {\textcopyright} 2018",

year = "2018",

month = jul,

doi = "10.1016/j.econlet.2018.04.007",

language = "English",

volume = "168",

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AB - This paper reconsiders spurious regressions with high-order processes by using a balanced regression approach. Results show that if the balanced orders adopted in a regression model are greater than the truly largest lag of regressand and regressor data generation processes, then spurious regressions can be eliminated.

KW - Balanced regression

KW - High-order models

KW - Spurious regression

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DO - 10.1016/j.econlet.2018.04.007

M3 - Article

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SN - 0165-1765

VL - 168

SP - 70

EP - 72

JO - Economics Letters

JF - Economics Letters

ER -

Spurious regressions with high-order models: A reconsideration

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Keywords

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