A note on spurious regressions between stationary series

Applied Economics Letters

Volumn 15, Issue 15, 2008, Pages 1225-1230

  Su, Jen Je ^a  

^a MASSEY UNIVERSITY   (New Zealand)

Author keywords

[No Author keywords available]

Indexed keywords

REGRESSION ANALYSIS; TESTING METHOD;

EID: 57049099900     PISSN: 13504851     EISSN: 14664291     Source Type: Journal    
DOI: 10.1080/13504850601018106     Document Type: Article

References (10)

1. Andrews, D. W. K. and Monahan, J. C. (1992) An improved heteroskedasticity and autocorrelation consistent covariance estimator. Econometrica, 59, pp. 953-966.
2. den Haan, W.J. and Levin, A. (1997) A practitioner's guide to robust covariance matrix estimation. Handbook of Statistics: Robust Inference, 15, pp. 291-341. Elsevier, New York
3. Granger, C. W. J. and Newbold, P. (1974) Spurious regressions in econometrics. Journal of Econometrics, 2, pp. 111-120.
4. Granger, C. W. J., Hyung, N. and Jeon, Y. (2001) Spurious regressions with stationary series. Applied Economics, 33, pp. 899-904.
5. Kiefer, N. M. and Vogelsang, T. J. (2002) Heteroskedasticity-autocorrelation robust testing using bandwidth equal to sample size. Econometric Theory, 18, pp. 1350-1366.
6. Kiefer, N. M. and Vogelsang, T. J. (2005) A new asymptotic theory for heteroskedasticity-autocorrelation robust tests. Econometric Theory, 21, pp. 1130-1164.
7. Newey, W. K. and West, K. D. (1987) A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix. Econometrica, 55, pp. 703-708.
8. Phillips, P. C. B. (1986) Understanding spurious regressions in econometrics. Journal of Econometrics, 33, pp. 311-340.
9. Phillips, P. C. B. (1998) New tools for understanding spurious regressions. Econometrica, 66, pp. 1299-1325.
10. Sun, Y. (2004) A convergent t-statistic in spurious regressions. Econometric Theory, 20, pp. 943-962.