What is a spurious regression?
A)statistically significant but meaningless results generated by regression analysis of non-stationary data
B)the results generated by regression analysis of a station variable dependent on a non-stationary series
C)regression analysis where endogenous and exogenous variables are reversed
D)regression analysis that is impossible due to lack of identification

Question

Quizplus · Accepted Answer

A spurious regression occurs in a situation where there appears to be a significant relationship between two variables in a regression model, but in reality, there is no causal relationship between the variables. This happens when both variables are non-stationary, meaning that they both have a trend or a random walk component. Since both variables are trending upward over time, for example, we might see a very high correlation between them even though they are not actually related. Thus a spurious regression is essentially statistically significant but meaningless results generated by regression analysis of non-stationary data.

What Is a Spurious Regression