spurious regression伪回归.pdf

Hindawi Publishing Corporation Journal of Probability and Statistics Volume 2009, Article ID 802975, 27 pages doi:10.1155/2009/802975 Review Article Spurious Regression ` D. Ventosa-Santaularia Departamento de Economia y Finanzas, Universidad de Guanajuato, DCEA-Campus Marfil Fracc. I, 36250 El Establo, Guanajuato, Gto, Mexico Correspondence should be addressed to D. Ventosa-Santaularia, daniel@ ` Received 23 January 2009; Revised 6 April 2009; Accepted 15 May 2009 Recommended by Ricardas Zitikis ˇ The spurious regression phenomenon in least squares occurs for a wide range of data generating processes, such as driftless unit roots, unit roots with drift, long memory, trend and broken- trend stationarity. Indeed, spurious regressions have played a fundamental role in the building of modern time series econometrics and have revolutionized many of the procedures used in applied macroeconomics. Spin-offs from this research range from unit-root tests to cointegration and error- correction models. This paper provides an overview of results about spurious regression, pulled from disperse sources, and explains their implications. Copyright q 2009 D. Ventosa-Santaularia. This is an open access article distributed under the ` Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited. 1. Introduction During the last 30 years econometric theory has undergone a revolution. In the late seventies, economists and econometricians reco