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Spurious regressions driven by excessive volatility

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  • Kim, Chang Sik
  • Lee, Sungro

Abstract

This paper shows that the excessive volatility results in spurious regressions. The spuriousness can be driven by persistency in the error variances unlike the conventional spurious regressions that are generated by the persistency in the level of regression errors.

Suggested Citation

  • Kim, Chang Sik & Lee, Sungro, 2011. "Spurious regressions driven by excessive volatility," Economics Letters, Elsevier, vol. 113(3), pages 292-297.
    • Handle: RePEc:eee:ecolet:v:113:y:2011:i:3:p:292-297
    DOI: 10.1016/j.econlet.2011.08.014
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    References listed on IDEAS

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    More about this item

    Keywords

    Stochastic volatility; Persistency in volatility; Near-unit root; Spurious regression;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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