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Spurious Regression: Concept and Some Results

Ali Hossein Samadi

Volume 9, Issue 32 , October 2007, , Pages 111-136

Abstract
  Granger and Newbold (1974) proposed the idea of spurious regression in econometrics. They showed that with I(1) dependent and independent variables, if a regression model is estimated by OLS method, the results may be spurious. This idea is extended to variables with different order of integration. In ...  Read More