Could regression of stationary series be spurious?
Spurious regression, commonly associated with independent and (nearly) non-stationary time series, has been extensively studied. However, the potential for spurious outcomes in regression involving stationary time series remains largely unexplored, representing a gap in the literature. To address th...
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| Main Authors: | , , |
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| Other Authors: | |
| Format: | Article |
| Language: | English |
| Published: |
2024
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| Subjects: | |
| Online Access: | https://hdl.handle.net/10356/181224 |
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| Institution: | Nanyang Technological University |
| Language: | English |
| Summary: | Spurious regression, commonly associated with independent and (nearly) non-stationary time series, has been extensively studied. However, the potential for spurious outcomes in regression involving stationary time series remains largely unexplored, representing a gap in the literature. To address this gap, we propose that regression of stationary time series may yield spurious outcomes and conduct a comprehensive investigation to verify this conjecture. Additionally, we present a remedy algorithm to mitigate spurious effects and improve model interpretability. Through extensive simulations, we validate our conjecture and demonstrate the efficacy of the proposed remedy. A numerical analysis further illustrates the practical utility of our approach. This study offers a fresh perspective on spurious regression and provides a practical solution to enhance the reliability of regression analyses involving stationary time series data. |
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