Partial unit root and linear spurious regression: A Monte Carlo simulation study

Lingxiang Zhang*

*Corresponding author for this work

    Research output: Contribution to journalArticlepeer-review

    5 Citations (Scopus)

    Abstract

    In this paper, we consider both the partial unit root and the near partial unit root processes in nonlinear transition autoregression models. Our simulations show that when these time series data are used in ordinary least squares regression, spurious regression occurs. However, if we re-estimate the regression by adding an AR(1) term, spurious regression can almost be eliminated.

    Original languageEnglish
    Pages (from-to)189-191
    Number of pages3
    JournalEconomics Letters
    Volume118
    Issue number1
    DOIs
    Publication statusPublished - Jan 2013

    Keywords

    • Monte Carlo simulation
    • Partial unit root
    • Spurious regression

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