Spurious correlation of I(0) regressors in models with an I(1) dependent variable

Chris Stewart

doi:10.1016/j.econlet.2005.11.014,

Spurious correlation of I(0) regressors in models with an I(1) dependent variable

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Abstract

Hassler [Hassler, U., 1996. Spurious regressions when stationary regressors are included, Economics Letters, 50, 25-31] shows that t- and F-tests for zero restrictions on I(0) regressors in equations with an I(1) dependent variable do not diverge to infinity asymptotically. He concludes that there is no spurious significance for these regressors. Using Monte Carlo simulation we demonstrate that spurious correlation generally occurs in such regressions.

Original language	English
Pages (from-to)	184-189
Journal	Economics Letters
Volume	91
Issue number	2
DOIs	https://doi.org/10.1016/j.econlet.2005.11.014,
Publication status	Published - May 2006

Keywords

Economics and econometrics

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10.1016/j.econlet.2005.11.014,

http://dx.doi.org/10.1016/j.econlet.2005.11.014

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title = "Spurious correlation of I(0) regressors in models with an I(1) dependent variable",

abstract = "Hassler [Hassler, U., 1996. Spurious regressions when stationary regressors are included, Economics Letters, 50, 25-31] shows that t- and F-tests for zero restrictions on I(0) regressors in equations with an I(1) dependent variable do not diverge to infinity asymptotically. He concludes that there is no spurious significance for these regressors. Using Monte Carlo simulation we demonstrate that spurious correlation generally occurs in such regressions.",

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AB - Hassler [Hassler, U., 1996. Spurious regressions when stationary regressors are included, Economics Letters, 50, 25-31] shows that t- and F-tests for zero restrictions on I(0) regressors in equations with an I(1) dependent variable do not diverge to infinity asymptotically. He concludes that there is no spurious significance for these regressors. Using Monte Carlo simulation we demonstrate that spurious correlation generally occurs in such regressions.

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DO - 10.1016/j.econlet.2005.11.014,

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SP - 184

EP - 189

JO - Economics Letters

JF - Economics Letters

IS - 2

ER -

Spurious correlation of I(0) regressors in models with an I(1) dependent variable

Abstract

Keywords

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