Journal article
A note on spurious regression in seasonal time series
Journal of statistical computation and simulation, Vol.78(9), pp.843-851
09/01/2008
Handle:
https://hdl.handle.net/2376/110963
Abstract
This paper considers spurious regression between two different types of seasonal time series: one with a deterministic seasonal component and the other with a stochastic seasonal component. When one type of seasonal time series is regressed on the other type and they are independent of each other, the phenomenon of spurious regression occurs. Asymptotic properties of the regression coefficient estimator and the associated regression 't-ratio' are studied. A Monte Carlo simulation study is conducted to confirm the phenomenon of spurious regression and spurious rejection of seasonal cointegration for finite samples.
Metrics
11 Record Views
Details
- Title
- A note on spurious regression in seasonal time series
- Creators
- Byeongchan Seong - Department of Statistics , Chung-Ang UniversitySung K Ahn - Department of Management and Operations , Washington State UniversityYongil Jeon - School of Economics, Sungkyunkwan University
- Publication Details
- Journal of statistical computation and simulation, Vol.78(9), pp.843-851
- Academic Unit
- Finance and Management Science, Department of
- Publisher
- Taylor & Francis
- Identifiers
- 99900547278901842
- Language
- English
- Resource Type
- Journal article