Spuriouser and Spuriouser

The Spurious Regression Problem was first described in a 1974 paper by C. W. J. Granger,  and P. Newbold, in the Journal of Econometrics 2, 1974, pp. 111-120. ‘Spurious Regressions in Econometrics’

Some econometric theorists suggest, however, that the spurious regression problem is itself spurious. Take for example professor Bennett T. McCallum (pictured) of the Tepper School of Business at Carnegie Mellon University, US. The professor explains the rationale in his paper: Is the spurious regression problem spurious?(Economics Letters, Volume 107, Issue 3, June 2010, Pages 321–323)

Yet other econometricians though, assert that any assertions that the Spurious Regression Problem is spurious are also spurious – in other words, the problem is not spurious. Berenice Martínez-Rivera (Banco de México), and professor Daniel Ventosa-Santaulària (Universidad de Guanajuato. Campus Guanajuato, Sede Marfil. DCEA, Departamento de Economía y Finanzas. El Establo S/N, Guanajuato, Gto, Mexico) do just that in their paper: A comment on ‘Is the spurious regression problem spurious?’ (Economics Letters, Volume 115, Issue 2, May 2012, Pages 229–231)

“McCallum (2010) presented evidence that the spurious regression problem can be solved by standard means. We show using finite-sample evidence that the spurious regression problem cannot always be fixed using standard autocorrelation correction procedures and remains, therefore, a not-so-spurious problem.”