Author
Instructor, Shiraz University
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 this paper , we review the literature of spurious regression and show that when the variables have different order of integration , for example I(1) & I(2) , and I(1) & I(0) , the spurious results may occur.
Keywords
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