Nonsense regressions due to neglected time-varying means

被引：14
|
作者：
Hassler, U [1 ]
机构：
[1] Free Univ Berlin, Inst Stat & Econometr, D-14195 Berlin, Germany
来源：
STATISTICAL PAPERS | 2003年 / 44卷 / 02期
关键词：
level shifts; deterministic seasonality; spurious correlation;
D O I：
10.1007/s00362-003-0144-0
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
Regressions of two independent time series are considered.. The variables are covariance stationary but display time-varying although not trending means. Two prominent examples are level 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.
引用
收藏
页码：169 / 182
页数：14
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