Bias correction based on AR model in spurious regression

Bias correction based on AR model in spurious regression

The regression of mutually independent time series, whether stationary or non-stationary, will result in autocorrelation in the random error term. This leads to the over-rejection of the null hypothesis in the conventional t-test, causing spurious regression. We propose a new method to reduce spurio...

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Bibliographic Details
Main Authors: Zhongzhe Ouyang, Ke Liu, Min Lu
Format: Article
Language:English
Published: AIMS Press 2024-02-01
Series:AIMS Mathematics
Subjects:
spurious regression
autoregression
bias correction
trend
Online Access:https://www.aimspress.com/article/doi/10.3934/math.2024410?viewType=HTML

Internet

https://www.aimspress.com/article/doi/10.3934/math.2024410?viewType=HTML

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