Spurious Regression in Time-Series Econometrics: A brief survey [Paperback]

Daniel Ventosa-Santaulària (Author)

Book Description

ISBN-10: 3639215796 | ISBN-13: 978-3639215793 | Publication Date: November 13, 2009

The reappraisal of the spurious regression in the mid-seventies (Granger and Newbold, 1974) deeply transformed macroeconometrics; modern empirical applications inherited much of the knowledge that has been spawned by the research program in spurious regression. The phenomenon occurs in Least Squares 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 book provides an overview of results about spurious regression, pulled from disperse sources, and explains their implications. This work should prove useful to researchers in statistics, time-series econometrics and applied economics.

Editorial Reviews

About the Author

Daniel Ventosa-Santaulària has been Associate Professor of Econometrics at Universidad de Guanajuato since 2004. He obtained a PhD in Economics at the GREQAM, France (2004). Daniel has several publications: Comm. in Stats., EB, J. of Prob. and Stats., JTSA, OBES,?. His current research focuses on non-stationary time series Econometrics.

Product Details

• Paperback: 164 pages
• Publisher: VDM Verlag (November 13, 2009)
• Language: English
• ISBN-10: 3639215796
• ISBN-13: 978-3639215793
• Product Dimensions: 8.7 x 5.9 x 0.4 inches
• Shipping Weight: 10.2 ounces (View shipping rates and policies)
• Average Customer Review: 5.0 out of 5 stars  See all reviews (1 customer review)
• Amazon Best Sellers Rank: #6,376,326 in Books (See Top 100 in Books)

Customer Reviews

Most Helpful Customer Reviews

5.0 out of 5 stars An excellent contribution to understand the spurious regression phenomenon., November 27, 2011

By 

C. Vladimir Rodríguez Caballero (México DF, México) - See all my reviews

This review is from: Spurious Regression in Time-Series Econometrics: A brief survey (Paperback)

Professor Ventosa-Santaulària gives us an excellent overview about a theory which has changed the history and road in the econometrics literature. I mean to spurious regression. The Mexican econometrician, Dr. Daniel Ventosa-Santaulària, is an expert in this scientific field, his conscientious work in favor of spurious regression has generated some importance contributions in the literature and we shall be able to understand in an easy and clear way the existence of this phenomenon when the data generation process is defined from some stochastic process like unit roots, long memory or stationarity processes. In a nutshell, this book will be a great acquisition for those who work with time-series econometrics whether theoretical or applied researcher.