Spurious regression: A higher-order problem |
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| Authors: | Robert Sollis |
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| Affiliation: | Newcastle University Business School, Newcastle University, Ridley Building, Queen Victoria Road, Newcastle upon Tyne, NE1 7RU, United Kingdom |
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| Abstract: | This paper investigates solving the spurious regression problem using an autocorrelation correction. It is shown that if the relevant data generation processes contain higher-order terms, this solution is not as effective as in the first-order case. |
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| Keywords: | C20 C22 |
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