Spurious Regressions in Econometrics

A Companion to Theoretical Econometrics

Volumn , Issue , 2007, Pages 557-561

  Granger, Clive W J ^a  

^a UNIVERSITY OF CALIFORNIA   (United States)

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Indexed keywords

EID: 84954208185     PISSN: None     EISSN: None     Source Type: Book    
DOI: 10.1002/9780470996249.ch27     Document Type: Chapter

References (10)

1. Dickey, D.A., and W.A. Fuller (1979). Distribution of the estimates for autoregressive time series with a unit root. Journal of the American Statistical Association 74, 427-31.
2. Durlauf, S.N., and P.C.B. Phillips (1988). Trends versus random walks in time series analysis. Econometrica 56, 1333 -54.
3. Granger, C.W.J., N. Hyung, and Y. Jeon (1998). Spurious regression with stationary series. Working Paper, UCSD Department of Economics.
4. Granger, C.W.J., and P. Newbold (1974). Spurious regressions in econometrics. Journal of Econometrics 2, 111-20.
5. Haldrup, N. (1994). The asymptotics of single-equation cointegration regressions with I(1) and I(2) variables. Journal of Econometrics 63, 153 - 81.
6. Kendall, M.G. (1954). Exercises in Theoretical Statistics. London, Griffin.
7. Marmol, F. (1998). Spurious regression theory with non-stationary fractionally integrated processes. Journal of Econometrics 84, 233-50.
8. Phillips, P.C.B. (1986). Understanding spurious regressions in econometrics. Journal of Econometrics 33, 311-40.
9. Phillips, P.C.B. (1998). New tools for understanding spurious regressions. Econometrica 66, 1299-325.
10. Yule, G.U. (1926). Why do we sometimes get nonsense correlations between time series? Journal of the Royal Statistical Society 89, 1- 64.