Spurious regressions of stationary AR(p) processes with structural breaks

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Chu, Ba M.; Kozhan, Roman;
(2011)

When a pair of independent series is highly persistent, there is a spurious regression bias in a regression between these series, closely related to the classic studies of Granger and Newbold (1974). Although this is well known to occur with independent I(1) processes, ... View more
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