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

Lingxiang Zhang

doi:10.1016/j.econlet.2012.10.018

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

Lingxiang Zhang^*

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-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 language	English
Pages (from-to)	189-191
Number of pages	3
Journal	Economics Letters
Volume	118
Issue number	1
DOIs	https://doi.org/10.1016/j.econlet.2012.10.018
Publication status	Published - Jan 2013

Keywords

Monte Carlo simulation
Partial unit root
Spurious regression

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10.1016/j.econlet.2012.10.018

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title = "Partial unit root and linear spurious regression: A Monte Carlo simulation study",

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.",

keywords = "Monte Carlo simulation, Partial unit root, Spurious regression",

author = "Lingxiang Zhang",

year = "2013",

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AB - 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.

KW - Monte Carlo simulation

KW - Partial unit root

KW - Spurious regression

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DO - 10.1016/j.econlet.2012.10.018

M3 - Article

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SN - 0165-1765

VL - 118

SP - 189

EP - 191

JO - Economics Letters

JF - Economics Letters

IS - 1

ER -

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

Abstract

Keywords

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