Spurious Regression in Time-Series Econometrics

The reappraisal of the spurious regression in the mid-seventies (Granger and Newbold, 1974) deeply transformed macroeconometrics; modern empirical applications inherited much of the knowledge that has been spawned by the research program in spurious regression. The phenomenon occurs in Least Squares for a wide range of Data Generating Processes, such as driftless unit roots, unit roots with drift, long memory, trend and broken-trend stationarity. Indeed, spurious regressions have played a fundamental role in the building of modern time series econometrics and have revolutionized many of the procedures used in applied macroeconomics. Spin-offs from this research range from unit-root tests to cointegration and error-correction models. This book provides an overview of results about spurious regression, pulled from disperse sources, and explains their implications. This work should prove useful to researchers in statistics, time-series econometrics and applied economics.

Autorentext

Daniel Ventosa-Santaulària has been Associate Professor of Econometrics at Universidad de Guanajuato since 2004. He obtained a PhD in Economics at the GREQAM, France (2004). Daniel has several publications: Comm. in Stats., EB, J. of Prob. and Stats., JTSA, OBES,.... His current research focuses on non-stationary time series Econometrics.