Nonsense regressions due to neglected time-varying means. (English) Zbl 1017.62077

Summary: Regressions of two independent time series are considered. The variables are covariance stationary but display time-varying although not trending means. Two prominent examples are level shifts due to structural breaks and seasonally varying means. If the variation of the means is not taken into account, this induced nonsense correlations. The asymptotic treatment is supplemented by experimental evidence.


62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
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