| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 1152341 | Statistics & Probability Letters | 2010 | 7 Pages |
Abstract
We present asymptotic and finite-sample arguments to study the spurious regression problem. This problem may be solved by introducing a lurking variable in the specification even if it is merely a proxy variable. Moreover, this approach is also valid if the lurking variable is a trending mechanism, as when the spurious regression is due to nonstationarities in the variables.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Lizeth García-Belmonte, Daniel Ventosa-Santaulària,