Publication:
Nonsense regressions due to time-varying means

Loading...
Thumbnail Image
Identifiers
Publication date
1999-10
Defense date
Advisors
Tutors
Journal Title
Journal ISSN
Volume Title
Publisher
Impact
Google Scholar
Export
Research Projects
Organizational Units
Journal Issue
Abstract
Regressions of two independent time senes are considered. The variables are covariance stationary but display time-varying although not trending means. Two prominent examples are mean shifts due to structural breaks and seasonally varying means. If the variation of the means is not taken into account, this induces nonsense correlation. The asymptotic treatment is supplemented by experimental evidence.
Description
Keywords
Structural breaks, deterministic seasonality, spurious correlation
Bibliographic citation