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...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
AIMS Press
2024-02-01
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| Series: | AIMS Mathematics |
| Subjects: | |
| Online Access: | https://www.aimspress.com/article/doi/10.3934/math.2024410?viewType=HTML |