DOI: 10.1016/0304-4076(86)90001-1. Understanding spurious regressions in econometrics

Understanding spurious regressions in econometrics

10.1016/0304-4076(86)90001-1

Crossref journal-article

Elsevier BV

Journal of Econometrics (78)

Bibliography

Phillips, P. C. B. (1986). Understanding spurious regressions in econometrics. Journal of Econometrics, 33(3), 311â340.

Authors 1

P.C.B. Phillips (first)

References 20 Referenced 1,007

{'key': '10.1016/0304-4076(86)90001-1_bib1', 'series-title': 'On the theory of testing for unit roots in observed time series', 'author': 'Bhargava', 'year': '1984'} / On the theory of testing for unit roots in observed time series by Bhargava (1984)
{'key': '10.1016/0304-4076(86)90001-1_bib2', 'series-title': 'Convergence of probability measures', 'author': 'Billingsley', 'year': '1968'} / Convergence of probability measures by Billingsley (1968)
{'key': '10.1016/0304-4076(86)90001-1_bib3', 'series-title': 'Time series analysis: Forecasting and control', 'author': 'Box', 'year': '1970'} / Time series analysis: Forecasting and control by Box (1970)
{'key': '10.1016/0304-4076(86)90001-1_bib4', 'first-page': '1', 'article-title': 'An invariance principle for certain probability limit theorems', 'volume': '6', 'author': 'Donsker', 'year': '1951', 'journal-title': 'Memoirs of the American Mathematical Society'} / Memoirs of the American Mathematical Society / An invariance principle for certain probability limit theorems by Donsker (1951)
10.1090/S0002-9904-1946-08560-2 / Bulletin of the American Mathematical Society / On certain limit theorems in the theory of probability by Erdo¨s (1946)
10.1016/0304-4076(74)90034-7 / Journal of Econometrics / Spurious regressions in econometrics by Granger (1974)
{'key': '10.1016/0304-4076(86)90001-1_bib7', 'series-title': 'Forecasting economic time series', 'author': 'Granger', 'year': '1977'} / Forecasting economic time series by Granger (1977)
{'key': '10.1016/0304-4076(86)90001-1_bib8', 'series-title': 'Discussion paper no. 85-18', 'article-title': 'Dynamic model specification with equilibrium constraints: Cointegration and error correction', 'author': 'Granger', 'year': '1985'} / Discussion paper no. 85-18 / Dynamic model specification with equilibrium constraints: Cointegration and error correction by Granger (1985)
{'key': '10.1016/0304-4076(86)90001-1_bib9', 'series-title': 'Martingale limit theory and its applications', 'author': 'Hall', 'year': '1980'} / Martingale limit theory and its applications by Hall (1980)
10.1214/aop/1176993379 / Annals of Probability / A functional central limit theorem for weakly dependent sequences of random variables by Herrndorf (1984)
{'key': '10.1016/0304-4076(86)90001-1_bib11', 'series-title': 'Independent and stationary sequences of random variables', 'author': 'Ibragimov', 'year': '1971'} / Independent and stationary sequences of random variables by Ibragimov (1971)
10.1007/BF00532611 / Zeitschrift fu¨r Wahrscheinlichkeitstheorie und Verwandte Gebiete / Invariance principles for dependent variables by McLeish (1975)
10.1214/aop/1176996269 / Annals of Probability / A maximal inequality and dependent strong laws by McLeish (1975)
10.1016/0304-3932(78)90021-1 / Journal of Monetary Economics / Money income and sunspots: Measuring economic relationships and the effects of differencing by Plosser (1978)
{'key': '10.1016/0304-4076(86)90001-1_bib15', 'series-title': 'Cowles Foundation discussion paper no. 740', 'article-title': 'Time series regression with unit roots', 'author': 'Phillips', 'year': '1985'} / Cowles Foundation discussion paper no. 740 / Time series regression with unit roots by Phillips (1985)
{'key': '10.1016/0304-4076(86)90001-1_bib16', 'series-title': 'Cowles Foundation discussion paper no. 757', 'article-title': 'Understanding spurious regressions in econometrics', 'author': 'Phillips', 'year': '1985'} / Cowles Foundation discussion paper no. 757 / Understanding spurious regressions in econometrics by Phillips (1985)
{'key': '10.1016/0304-4076(86)90001-1_bib17', 'series-title': 'Cowles Foundation discussion paper no. 765', 'article-title': 'Asymptotic expansions in nonstationary vector autoregressions', 'author': 'Phillips', 'year': '1985'} / Cowles Foundation discussion paper no. 765 / Asymptotic expansions in nonstationary vector autoregressions by Phillips (1985)
{'key': '10.1016/0304-4076(86)90001-1_bib18', 'series-title': 'Cowles Foundation discussion paper no. 768', 'article-title': 'Multiple time series regression with integrated processes', 'author': 'Phillips', 'year': '1985'} / Cowles Foundation discussion paper no. 768 / Multiple time series regression with integrated processes by Phillips (1985)
{'key': '10.1016/0304-4076(86)90001-1_bib19', 'series-title': 'Convergence of stochastic processes', 'author': 'Pollard', 'year': '1984'} / Convergence of stochastic processes by Pollard (1984)
{'key': '10.1016/0304-4076(86)90001-1_bib20', 'series-title': 'Asymptotic theory for econometricians', 'author': 'White', 'year': '1984'} / Asymptotic theory for econometricians by White (1984)

Dates

Type	When
Created	23 years, 1 month ago (July 26, 2002, 12:15 a.m.)
Deposited	6 years, 4 months ago (April 12, 2019, 11:21 a.m.)
Indexed	2 weeks, 4 days ago (Aug. 12, 2025, 6:20 p.m.)
Issued	38 years, 8 months ago (Dec. 1, 1986)
Published	38 years, 8 months ago (Dec. 1, 1986)
Published Print	38 years, 8 months ago (Dec. 1, 1986)

Funders 0

None

BibTeX

@article{Phillips_1986, title={Understanding spurious regressions in econometrics}, volume={33}, ISSN={0304-4076}, url={http://dx.doi.org/10.1016/0304-4076(86)90001-1}, DOI={10.1016/0304-4076(86)90001-1}, number={3}, journal={Journal of Econometrics}, publisher={Elsevier BV}, author={Phillips, P.C.B.}, year={1986}, month=dec, pages={311–340} }

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