Spurious Regressions in Econometrics

Granger, C. W. J., & Newbold, P. (1974). Spurious Regressions in Econometrics. Journal of Econometrics, 4076(74), 111-120.

Type

Journal article

Intellectual base

Primary research

Year

1974

DOI

10.1016/0304-4076(74)90034-7

Link

https://doi.org/10.1016/0304-4076(74)90034-7

Cited by

2 citations across 2 artifacts.

Each citation links to the sentence it supports in the citing article.

Mechanisms

• Regression Detrending Model
  • Fitting trends to two independently trending series and correlating the results invites spurious regression.

    This sourceShows that regressions between independent trending time series can produce apparently strong but spurious relationships.

• Stationarity Check
  • The associated classic trap is spurious regression

    This sourceGranger and Newbold show that independent autocorrelated series can yield apparently strong, significant regressions.

Verification

This reference passed the adversarial substantiation pipeline: it was checked to exist and to support the claim it is attached to. See how references were verified.

Registry ID ref:e306836ad592 · see in the full table