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  • A note on spurious regressions between stationary series

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    Author(s)
    Su, Jen-Je
    Griffith University Author(s)
    Su, Jen-Je
    Year published
    2008
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    Abstract
    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.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.
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    Journal Title
    Applied Economics Letters
    Volume
    15
    Issue
    15
    DOI
    https://doi.org/10.1080/13504850601018106
    Copyright Statement
    © 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
    Subject
    Time-Series Analysis
    Public Health and Health Services
    Applied Economics
    Banking, Finance and Investment
    Publication URI
    http://hdl.handle.net/10072/26523
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    • Journal articles

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