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Original Articles

Spurious regressions with stationary series

Pages 899-904 | Published online: 04 Oct 2010

References

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  • Granger , C. W. J. and Swanson , N. 1997 . An introduction to stochastic unit-root processes . Journal of Econometrics , 80 : 35 – 62 .
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  • Marmol , F. 1996 . Nonsense regressions between integrated processes of different orders . Oxford Bulletin of Econometics and Statistics , 58 : 525 – 536 .
  • Newey , W. K. and West , K. D. 1987 . A simple, positive semidefinite, heteroskedasticity and autocorrelation consistent covariance matrix . Econometrica , 55 : 703 – 708 .
  • Phillips , P. C. B. 1986 . Understanding spurious regressions in econometrics . Journal of Econometrics , 33 : 311 – 340 .
  • Yule , G. U. 1926 . Why do we sometimes get nonsense correlations between time series? A study in sampling and the nature of time series . Journal of the Royal Statistical Society , 89 : 1 – 64 .

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