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Journal of Probability and Statistics
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2009
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Article
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Tab 10
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Review Article
Spurious Regression
Table 10
t
-ratio rejection rates using a 1.96 critical value (5% level) for a standard normal distribution: spurious regression using LS and HAC standard errors.
DGPs
LS standard errors
HAC standard errors
Sample size
50
100
200
500
50
100
200
500
0.21
0.99
1.00
1.00
0.27
0.99
1.00
1.00
0.20
0.99
1.00
1.00
0.27
0.99
1.00
1.00
0.45
0.80
0.90
0.95
0.46
0.71
0.79
0.86
0.65
0.84
0.91
0.95
0.62
0.74
0.80
0.86
0.68
0.76
0.83
0.90
0.57
0.61
0.67
0.77