Séminaire GREDEG - Christos Agiakloglou (Univ. of Piraeus - Greece)

“Is Spurious Regression an Issue for two independent stationary AR(1) processes?”
Quand ? Le 20-09-2018,
de 15:45 à 16:45
Où ? GREDEG - Salle Picasso
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Séminaire GREDEG Erasmus+

Christos Agiakloglou - University of Piraeus, Greece.

Jeudi 20 Septembre 2018

Abstract: When time series data is used in econometrics serially correlated errors are most likely to appear.  Autocorrelation will also be detected in regression analysis as an indication of a false specification between two variables.  This study examines the problem of serially correlated errors in the context of spurious regression showing evidence of removing the presence of this phenomenon both theoretically as well as empirically by applying the Cochrane-Orcutt procedure.