TY  - JOUR
AU  - McCallum,Bennett T.
TI  - Is the Spurious Regression Problem Spurious?
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 15690
PY  - 2010
Y2  - January 2010
UR  - http://www.nber.org/papers/w15690
L1  - http://www.nber.org/papers/w15690.pdf
N1  - Author contact info:
Bennett T. McCallum
Tepper School of Business, Posner 256
Carnegie Mellon University
Pittsburgh, PA 15213
Tel: 412/268-2347
Fax: 412/268-6830
E-Mail: bm05@andrew.cmu.edu
AB  - 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.
ER  -