| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w15690 |
| 来源ID | Working Paper 15690 |
| Is the Spurious Regression Problem Spurious? | |
| Bennett T. McCallum | |
| 发表日期 | 2010-01-28 |
| 出版年 | 2010 |
| 语种 | 英语 |
| 摘要 | So-called "spurious regression" relationships between random-walk (or strongly autoregressive) variables are generally accompanied by clear signs of severe autocorrelation in their residuals. A conscientious researcher would therefore not end an investigation with such a result, but would likely re-estimate with an autocorrelation correction. Simulations show, for several typical cases, that the test-rejection statistics for the re-estimated relationships are very close to the true values, so do not yield results of the spurious type. |
| 主题 | Econometrics ; Estimation Methods |
| URL | https://www.nber.org/papers/w15690 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/573363 |
| 推荐引用方式 GB/T 7714 | Bennett T. McCallum. Is the Spurious Regression Problem Spurious?. 2010. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w15690.pdf（112KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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