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Spurious regressions with stationary series

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  • Clive Granger
  • Namwon Hyung
  • Yongil Jeon

Abstract

A spurious regression occurs when a pair of independent series, but with strong temporal properties, are found apparently to be related according to standard inference in an OLS regression. Although this is well known to occur with pairs of independent unit root processes, this paper finds evidence that similar results are found with positively autocorrelated autoregressive series or long moving averages. This occurs regardless of the sample size and for various distributions of the error terms.

Suggested Citation

  • Clive Granger & Namwon Hyung & Yongil Jeon, 2001. "Spurious regressions with stationary series," Applied Economics, Taylor & Francis Journals, vol. 33(7), pages 899-904.
    • Handle: RePEc:taf:applec:v:33:y:2001:i:7:p:899-904
    DOI: 10.1080/00036840121734
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    References listed on IDEAS

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