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Abstract This paper reconsiders spurious regressions with high-order processes by using a balanced regression approach. Results show that if the balanced orders adopted in a regression model are greater than… Click to show full abstract
Abstract This paper reconsiders spurious regressions with high-order processes by using a balanced regression approach. Results show that if the balanced orders adopted in a regression model are greater than the truly largest lag of regressand and regressor data generation processes, then spurious regressions can be eliminated.
Keywords:
high order;
regressions high;
spurious regressions;
models reconsideration;
order models
Journal Title: Economics Letters
Year Published: 2018
Link to full text (if available)
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Journal Title: Economics Letters
Year Published: 2018
Link to full text (if available)
Share on Social Media: Sign Up to like & get
recommendations!