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	On spurious regressions with partial unit root processes
	Tu, Yundong
	2017
关键词	Balanced regression Partial near unit root Spurious regression
英文摘要	This paper considers spurious regressions with partial unit root and near partial unit root processes. Three models are investigated via simulations to study the rejection probability of the associated t-statistics in detecting the spurious correlation. The results reveal that the spurious regression is a not-so-spurious problem, which cannot be eliminated by adding AR(1) errors in re-estimation. Moreover, the advocated balanced regression approach is found effective in detecting the non-existent relationship. (C) 2016 Elsevier B.V. All rights reserved.; National Natural Science Foundation of China [71301004, 71472007, 71532001, 71671002]; Center for Statistical Science, Peking University; SSCI; ARTICLE; 142-145; 150
语种	英语
出处	SCI
出版者	ECONOMICS LETTERS
内容类型	其他
源URL	[http://hdl.handle.net/20.500.11897/469510]
专题	数学科学学院
推荐引用方式 GB/T 7714	Tu, Yundong. On spurious regressions with partial unit root processes. 2017-01-01.

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