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Evidence of ARCH(1) Errors in the Context of Spurious Regressions |
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| Authors: | Christos Agiakloglou |
| Institution: | 1. Department of Economics , University of Piraeus , Piraeus , Greece agiaklis@unipi.gr |
| Abstract: | The spurious regression phenomenon is related to first-order serially correlated errors. This study, using a Monte Carlo analysis, finds that this phenomenon is also related to ARCH(1) type errors. |
| Keywords: | ARCH(1) errors Serially correlated errors Spurious regression Stationary and non stationary processes |