Spurious Regressions in Econometrics

Granger, C. W. J., & Newbold, P. (1974). Spurious Regressions in Econometrics. Journal of Econometrics, 2(2), 111-120.

Type

Journal article

Intellectual base

Primary research

Year

1974

Volume

2

Issue

2

Pages

111-120

ISSN

0304-4076

DOI

10.1016/0304-4076(74)90034-7

DOI registrant

Elsevier

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

Does it exist? Confirmed. This work's DOI resolves to a registered record, which fixes its identity. That is all it fixes.

Does it back the claim? Not recorded. Neither this nor any other of the 2 citations of this work carries a recorded support check.

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See how references were verified.

Registry ID ref:e306836ad592 · see in the full table