A note on spurious regressions between stationary series
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This article examines if the convergent t-test suggested by Sun (2004) is able to solve spurious regressions with stationary series. In brief, we find that the convergent t-test does provide better control over size compared to the usual t-test and its Newey-West modification and, in most cases implementing a pre-whitening procedure size is further controlled.
Applied Economics Letters
© 2008 Routledge. This is an electronic version of an article published in Applied Economics Letters [Vol. 15(15), pp. 1225-1330]. Applied Economics Letters is available online at: http://www.informaworld.com