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
𝑥𝑖	𝑦𝑖	Sample size
		50	100	200	500	50	100	200	500
4	4	0.21	0.99	1.00	1.00	0.27	0.99	1.00	1.00
5	5	0.20	0.99	1.00	1.00	0.27	0.99	1.00	1.00
6	4	0.45	0.80	0.90	0.95	0.46	0.71	0.79	0.86
6	5	0.65	0.84	0.91	0.95	0.62	0.74	0.80	0.86
6	6	0.68	0.76	0.83	0.90	0.57	0.61	0.67	0.77