Spurious regressions in econometrics

Granger, Clive W. J.; Newbold, Paul

doi:10.1016/0304-4076(74)90034-7

Cited by 4,429 publications

(1,451 citation statements)

References 4 publications

Supporting

Mentioning

1,210

Contrasting

Unclassified

Order By: Relevance

“…First, doing so renders our data stationarity. Although often neglected in panel studies, nonstationarity of variables can lead to spurious relationships when estimating panel regression models in the same way as it does in time-series models (Granger and Newbold, 1974). However, given the short time dimension in many panel datasets, including ours, panel unit root tests are unreliable.…”

Section: Data Methodology and Resultsmentioning

confidence: 99%

Sanctions and the Shadow Economy: Empirical Evidence from Iranian Provinces

Farzanegan¹,

Hayo

2018

SSRN Journal

View full text Add to dashboard Cite

Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. [2001][2002][2003][2004][2005][2006][2007][2008][2009][2010][2011][2012][2013], this study finds that the international sanctions of 2012/2013 had a significantly stronger negative impact on the growth rate of the shadow economy than they did on the official GDP growth rate. Thus, the international sanctions on Iran have damaged the informal economy even more than the formal economy. Terms of use: Documents in JEL: F51, E26, O17

show abstract

Section: Data Methodology and Resultsmentioning

confidence: 99%

Sanctions and the Shadow Economy: Empirical Evidence from Iranian Provinces

Farzanegan¹,

Hayo

2018

SSRN Journal

View full text Add to dashboard Cite

show abstract

“…Nonstationarity of the time series under study may lead to false conclusions by a traditional linear causality test. This phenomenon has been investigated in previous empirical (Granger and Newbold [11]) and theoretical (Phillips [19]) deliberations which led to a cointegration analysis.…”

Section: Fractional Cointegrationmentioning

confidence: 95%

The structure of contemporaneous price-volume relationships in financial markets

Gurgul

Syrek

2013

manage

View full text Add to dashboard Cite

“…It is known since a long time (see for example the presidential address to the Royal Statistical Society of Yule 1926) that the presence of unit roots or stochastic trends has drastic consequences for the behavior of regressions. A regression of two stochastically independent random walks on each other leads to a seemingly significant regression coefficient, a phenomenon labeled nonsense-regression by Yule (1926) and spurious regression by Granger and Newbold (1974). The latter paper provides simulation evidence only and an analytical study of spurious regression and its asymptotic properties is given in Phillips (1986).…”

Section: Unit Roots and Cointegrationmentioning

confidence: 98%

Cointegration analysis with state space models

Wagner

2010

AStA Adv Stat Anal

View full text Add to dashboard Cite

This paper presents and exemplifies results developed for cointegration analysis with state space models by Bauer and Wagner in a series of papers. Unit root processes, cointegration and polynomial cointegration are defined. Based upon these definitions the major part of the paper discusses how state space models, which are equivalent to VARMA models, can be fruitfully employed for cointegration analysis. By means of detailing the cases most relevant for empirical applications, the I(1), MFI(1) and I(2) cases, a canonical representation is developed and thereafter some available statistical results are briefly mentioned.

show abstract

Spurious regressions in econometrics

Cited by 4,429 publications

References 4 publications

Sanctions and the Shadow Economy: Empirical Evidence from Iranian Provinces

Sanctions and the Shadow Economy: Empirical Evidence from Iranian Provinces

The structure of contemporaneous price-volume relationships in financial markets

Cointegration analysis with state space models

Contact Info

Product

Resources

About