Spurious Autocorrelation is an apparent temporal dependence in a time series that arises not from genuine underlying autocorrelative dynamics but from structural artifacts such as model misspecification, omitted variables, or nonstationarity, thereby mimicking autocorrelation where none truly exists.
66
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5.5K
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131
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94
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Publications per year
2017–2026
9
Parents
Publications
66
Spurious Regressions in Financial Economics?
Wayne E. Ferson, Sergei Sarkissian, Timothy T. Simin · The Journal of Finance · 2003 · 593 citations · Full text
Spurious Periodicity in Inappropriately Detrended Time Series
Charles R. Nelson, Heejoon Kang · Econometrica · 1981 · 271 citations
Computing, Economics, Econometrics +16
1–5 of 66
Authors
131
- CR
4
h-index
- HK
4
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- SS
3
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3
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- WE
3
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1–5 of 131
Institutions
94
McGill University
Montreal, Canada
4 h-index
9 publications
2.2K citations
University of Washington
Seattle, United States
3 h-index
7 publications
2K citations
National Bureau of Economic Research
Cambridge, United States
3 h-index
7 publications
2K citations
Pennsylvania State University
State College, United States
3 h-index
7 publications
2K citations
University of California, Berkeley
Berkeley, United States
3 h-index
7 publications
242 citations
University of Arizona
Tucson, United States
3 h-index
3 publications
87 citations
University of Southern California
Los Angeles, United States
3 h-index
3 publications
113 citations
Michigan State University
East Lansing, United States
2 h-index
3 publications
275 citations
1–8 of 94
Venues
- SSRN Electronic Journal
Repository · 4 publications · 129 citations
4
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- The Journal of Finance
3 publications · 849 citations
3
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- Econometrica
2 publications · 304 citations
2
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- Statistics & Probability Letters
2 publications · 83 citations
2
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- Journal of Econometrics
2 publications · 315 citations
2
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1–5