Dealing with serially correlated errors in the context of spurious regression for two independent stationary AR(1) processes

被引：0

作者：

Agiakloglou, Christos ^{[1
]}

Agiropoulos, Charalampos ^{[1
]}

机构：

[1] Univ Piraeus, Dept Econ, Karaoli & Dimitriou 80, Piraeus 18534, Greece

来源：

APPLIED ECONOMICS LETTERS | 2022年 / 29卷 / 07期

关键词：

Serially correlated errors; spurious regression; independent stationary AR(1) processes; simple regression model;

D O I：

10.1080/13504851.2021.1881427

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

Serially correlated errors are most likely to appear in regression analysis when time-series data are used either as a true symptom of autocorrelation or as an indication of a false specification among variables. This study examines the problem of serially correlated errors in the context of spurious regression for two independent stationary AR(1) processes, showing evidence of removing the presence of both symptoms using a Monte Carlo analysis.

引用

页码：619 / 625

页数：7

共 9 条

[1] Evidence of spurious results along with spatially autocorrelated errors in the context of geographically weighted regression for two independent SAR(1) processes
Agiakloglou, Christos
Tsimbos, Cleon
Tsimpanos, Apostolos
[J]. EMPIRICAL ECONOMICS, 2019, 57 (05) : 1613 - 1631
[2] Evidence of spurious results along with spatially autocorrelated errors in the context of geographically weighted regression for two independent SAR(1) processes
Christos Agiakloglou
Cleon Tsimbos
Apostolos Tsimpanos
[J]. Empirical Economics, 2019, 57 : 1613 - 1631
[3] Is spurious behaviour an issue for two independent stationary spatial autoregressive SAR(1) processes?
Agiakloglou, Christos
Tsimbos, Cleon
Tsimpanos, Apostolos
[J]. APPLIED ECONOMICS LETTERS, 2015, 22 (17) : 1372 - 1377
[4] Spurious regression between I(1) processes with infinite variance errors
Tsay, WJ
[J]. ECONOMETRIC THEORY, 1999, 15 (04) : 622 - 628
[5] An alternative approach for testing for linear association for two independent stationary AR(1) processes
Agiakloglou, Christos
Tsimpanos, Apostolos
[J]. APPLIED ECONOMICS, 2012, 44 (36) : 4799 - 4803
[6] Asymptotic properties of estimators for the linear panel regression model with random individual effects and serially correlated errors: the case of stationary and non-stationary regressors and residuals
Baltagi, Badi H.
Kao, Chihwa
Liu, Long
[J]. ECONOMETRICS JOURNAL, 2008, 11 (03): : 554 - 572
[7] Arbitrary initial values and random norm for explosive AR(1) processes generated by stationary errors
Hwang, S. Y.
[J]. STATISTICS & PROBABILITY LETTERS, 2013, 83 (01) : 127 - 134
[8] Small Sample Properties Of Existing And New Estimators Of The Autocorrelation Coefficient And Regression Coefficients In The Context Of Ar(1) Errors
Sharma S.C.
Coleman B.
[J]. Journal of Quantitative Economics, 2005, 3 (1) : 133 - 160
[9] The balance between size and power in testing for linear association for two stationary AR(1) processes
Agiakloglou, Christos
Agiropoulos, Charalampos
[J]. APPLIED ECONOMICS LETTERS, 2016, 23 (04) : 230 - 234

← 1 →