Spurious regressions with high-order models: A reconsideration

摘要

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. (C) 2018 Elsevier B.V. All rights reserved.