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Regresión espuria en especificaciones dinámicas

Author

Listed:
  • Manuel Gómez Zaldivar

    (Departamento de Economía y Finanzas, Universidad de Guanajuato.)

  • Oscar Manjarrez Castro

    (Departamento de Economía y Finanzas, Universidad de Guanajuato.)

  • Daniel Ventosa-Santaulària

    (Departamento de Economía y Finanzas, Universidad de Guanajuato.)

Abstract

The spurious regression phenomenon, identified by Granger and Newbold (1974) is well known in econometrics. In fact, spurious regression occurs under a wide variety of Data Generating Processes: driftless unit root, unit root with drift, trend stationarity, broken-trend stationarity,… However, the phenomenon has been solely studied under the assumption that the specification to be estimated is a simple linear regression with a single regressand. We prove in this article that the spurious regression phenomenon also occurs when a dynamic specification is estimated. Dynamic specifications are commonly employed to model expectations. Our results extend the common knowledge concerning spurious regression usually found in popular textbooks: when the variables are trend stationary (i) using them in dynamic specification does not preclude the Durbin-Watson statistic to collapse so the latter is not a reliable tool in the identification of the spurious regression, and (ii) including the lagged value of the dependent variable as a regressand does not always solve the problem of spurious regression.

Suggested Citation

  • Manuel Gómez Zaldivar & Oscar Manjarrez Castro & Daniel Ventosa-Santaulària, 2009. "Regresión espuria en especificaciones dinámicas," Ensayos Revista de Economia, Universidad Autonoma de Nuevo Leon, Facultad de Economia, vol. 0(1), pages 1-20, May.
    • Handle: RePEc:ere:journl:v:xxviii:y:2009:i:1:p:1-20
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    References listed on IDEAS

    as
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    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Spurious Regression; Trend Stationarity; Dynamic Specification;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • 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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