Questions tagged [spurious-correlation]

Nonzero correlation between variables $x$ and $y$ where neither $x$ causes $y$ nor $y$ causes $x$. May result from both variables having a common cause or the correlation being conditional upon a common effect of both $x$ and $y$.

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What to do about spurious regression

Say you have two variables with trends in them. It is often said that this leads to spurious regression. My question is, when will regression with ARIMA error (which may involve differencing) ...
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Calculating Correlation for gold prices and inflation

I am trying to calculate the correlation between gold prices and inflation, based on monthly gold prices. I am not sure if I should use monthly gold prices (i.e. absolute values) and monthly inflation ...
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Can a confounding factor hide a possible causal relationship? (as opposed to find a spurious one)

I'm a rookie with statistics, and I'm struggling to understand this: it is well known that a confounding factor can cause a spurious association, leading to rejecting a true null hypothesis (i.e. due ...
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Will the coefficients of an error correction or lasso-penalized model usually reveal spurious correlation?

As time goes by I have learned of more and more ways that correlations can be spurious and more and more tests and correction procedures intended to avoid taking such correlations as meaningful. My ...
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¿How can I tell if I have a spurious regression for panel data?

I have a strange case. In a model N=150, T=17 (i.e. 150 countries observed across 17 years) I run the model in which I regress GDP against some variables. I get R-2=0.95 and all independent variables ...
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Spurious relationships: flavours, terminology

The following types of relationships come to my mind when I think of the term "spurious": A statistical relationship specific to a sample but not the population / the data generating process (DGP). ...
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What conditions to check before regressing y against x in terms of practical applications?

As far as I understand, non-stationarity leads to spurious regressions. Keeping this in mind, is running ADF test sufficient? I see a seasonality in x (visually), however both y and x pass ADF tests. ...
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Interpretation of ECM coefficients

Say that we are regressing consumption $C_t$ on time $Y_t$. Furthermore, suppose that both series are $I(1)$ and are co-integrated. Given this, we set up the error correction model (ECM) as follows: $...
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Spurious regression - are the coefficients biased or not?

Say that we are regressing a variable $Y_t$ on another variable $X_t$, and both series are non-stationary. Specifically, let's say that both are $I(1)$ and trend upwards over time. Now, say we ...
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105 views

Non-Stationary Data with Lagged Dependent Variable?

I am currently dealing with non-stationary data and I am unsure of how to proceed. My data is stationary in first differences I(1), which I confirmed using a Dickey-Fuller unit root test. However, I ...
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Spurious Regressions (Random Walk)

I have learned that the regression of a random walk process on another leads to seemingly statistically significant relationships, if you just use OLS. However, why do we get such large t-statistics? ...
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170 views

Lagged dependent variable with non stationary time series

I'm doing a regression analysis with non stationary time series. If I run the regression the residuals are auto correlated and non stationary. If i add a lag of the dependent variable (the estimated ...
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187 views

Regression of Stationary Time Series in Non-Stationary Time-Series

Let's suppose that I have a time series $Y_t$ with dimensions $T \times 1$ with monthly frequency, and a matrix of external variables $\boldsymbol{X_t}$ of dimensions $T \times p$ where $p$ also ...
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Spurious regression for large T small N logistic regression?

My question is - Will there be problem of spurious regression for large T small N panel logistic regression (with individual fixed effects), if the dependent variable is binary (0 or 1), and ...
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1answer
335 views

Technique to find spurious correlations among huge number of time series datasets?

I came across this tongue-in-cheek website that lists lots of spurious correlations. It's not lost on me that the author's main point is to discourage the brute-force-search of correlations, but his ...
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Are predictions obtained with spuriously correlated predictors any useful?

Short version: How useful are predictions of a variable y that are obtained using theoretically unrelated variables X that happen by mere luck to predict y very well? Is there any paper out there ...
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Teaching examples for internal validity: published experiments later shown to be confounded in an interesting way

There are some good examples of interesting/fun spurious correlations here (Examples for teaching: Correlation does not mean causation). Many/most of these are "funny" examples that aren't likely to ...
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Term for baseline with randomly distributed classes over same data points

I have a dataset with few (20,000) data points and many (100) features ranging from 0 to 1. The dataset is divided into two classes with even distribution. I'm doing a classification task on this and ...
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Lower chance of type I error for A>B>C than for A>B?

Say I want to test the effect of two levels of my independent variable (IV) on some dependent variable (DV). For instance, administering a drug in a small vs large dosage, and then measuring reaction ...
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How to prove that the probability of spurious correlation increases with random walk length?

Define a simple random walk $y_{t}$ as: $$y_{t} = y_{t-1} + 2\times Bernoulli\left(0.5\right)-1,$$ so that at time $t$ the value of $y$ equals its previous value plus a perturbation from the "flip-a-...
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Is it possible to use time lagged variables in spurious regression?

Spurious regression is generated when we regress time series data that are non-stationary. So is it possible to time lag the variable to further find a higher correlation?
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“Inflated” type I error rate for correlation test when a variable has repeated values

For a given variable Y, if we independently generate a random variable X and test the correlation between Y and X, we know that the histogram of the p-values of the correlation test should show a ...
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605 views

What trends to remove in a time series to avoid spurious correlation

Do you remove the seasonal component, the trend component, or both, when adjusting a time series to avoid finding spurious correlations? I have two time series x and y with trends and yearly ...
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Finding spurious regression based on Ferson et al and by detecting co-integration

After reading Ferson et al's (2003) paper on spurious regression, I understand that he uses extensive simulations to generate the true regressors and then compare them with those in the literature to ...
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Can series (A, B) be cointegrated if (A, B, C, D, E, F) are cointegrated?

If the result of series A and B shows cointegration, is this a spurious regression if series A,B,C,D,E,F were found cointegration as well? My explanation is that , if the stochastic trend series A ...
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How can I determine the accuracy of correlation?

When I performed correlation analysis of C02 emission with around four-hundred attributes, i found out that C02 emission and cereal production has a correlation value of 0.98 where as the most obvious ...
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Misunderstandings of “spurious correlation”?

I've heard people use the term spurious correlation in so many different instances and various ways, that I'm getting confused. Moreover, the Wikipedia page for Spurious relationship states: "In ...
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Ratio of correlated vectors is uncorrelated?

Having an issue wrapping my head around a problem today. I have 4 vectors: $A, B, X$ and $Y$. $A$ is linearly correlated to $X$ with an $R^2$ of ~0.93, and $B$ is linearly correlated to $Y$ with an $...
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Why does the presence of cointegration solve the problem of spurious correlation?

This question was originally posted on quantstackexchange: https://quant.stackexchange.com/questions/31501/why-does-the-presence-of-cointegration-solve-the-problem-of-spurious-correlation Many of us ...
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Question about Spurious Relationships of Trending Variables

Why is the answer to this question 'false?' If both X and Y exhibit trending behavior, then regression of Y on X and a trend variable will always generate spurious relationship. What are some ...
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Impossible effects in a logistic regression. What causes them, and what to do about them

I am currently analysing some data from a psychological experiment. In this experiment participants have to decide between two options based on some information. I can derive a variable indicating ...
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Avoiding inflated DF - spurious results computational modelling

I have a computer model comparing a number of paired groups of data (reaction time & accuracy for 1 'subject' go together for a number of categories) But since the program runs 500+ subjects for ...
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Is a High R squared a Sufficient condition for a spurious regression?

I know that a necessary condition for spurious regression is a R squared approaching 1. However, is a R squared approaching unity a sufficient condition? Said another way, if two non-stationary ...
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Correlation between two time series of sales data

I have two time-series of 2 different products x & y. They belong to the same main category, e.g.: Iphone 6 and Iphone 5. Maybe one product is the predecessor ...
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Does ARMAX solve the autocorrelated errors and avoid spurious regression?

I have a OLS model looks like this: However, the residuals have auto-correlation like this: It doesn't seem a strong autocorrelation, and the model passes the Engle-Granger cointegration test (...
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Model residuals pass stationarity test, but Durbin–Watson test fails

I have a OLS model that I try to prove it has cointegration between two regressors and the dependent variable. The model fits well, with a very high $R^2$. The residuals don't seem to be ...
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How to “statistically adjust” for variables? [duplicate]

I've been trying to understand what means "statistically adjusted" when comparing two variables. For example, when computing the odds ratio for a death after surgery in two hospitals, we compute the ...
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301 views

Can negative relationship between X and Y be spurious

Let's assume I have X and Y and both X and Y have positive relationship. In such case in which both series trend in the same direction, we need to test for cointegration to be sure that relationship ...
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Is this “strong correlation” definition valid?

This page defines a a "strong correlation" using a formula that combines a standard correlation measure with lag-1 autocorrelation measures. I've never seen a definition of correlation like this ...
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spurious regression?

I am regressing one variable on 1,500 features. I have 30,000 rows of data. I know some of my features are correlated, but a Ridge regression where I select the ridge parameter $\lambda$ by cross ...
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279 views

Correction methods for spurious correlation

I'm investigating the relationship between A/B and A*. I've found that higher A/B scores lead to lower A scores. Obviously however there is spurious correlation between A/B and A, and if that spurious ...
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Testing a single time-series for changing variance structure (Heteroscedasticity and Volatility Clustering)

I would like to assess a single time-series for a changing variance structure that might be leading to spurious variance estimates when that time-series is used in regression. In my head two terms ...
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290 views

Avoiding spurious correlation in time series

I am investigating the relationship between monthly macro-economic variables, and monthly indicators of a company's performance and workload. I am doing this for predictive purposes, and I am ...
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231 views

Do we have to model spurious auto-correlation in time series?

I am analyzing a data set of power consumption with the aim of forecasting. The times when there is consumption are rather sparse. If there is consumption then there is likely one in the next time ...
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Are these nonstationary variables?

If I have understood correctly, computing the correlation of two nonstationary variables can lead to spurious results. For example, computing the correlation of two stock price time series would lead ...
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788 views

Does the ratio fallacy apply when calculating a Pearson's correlation between one ratio variable and one absolute variable (no common term)?

Am I committing the ratio fallacy when I calculate the Pearson's correlation between a variable x/y and a variable z, with no common terms? I have found a similar question to mine here but the reader ...
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655 views

Correlation between non-independent variables

I want to conduct correlation between two variables, that have common term (difference scores). Originally there are three variables X, Y, Z. I want to conduct correlation between two variables that ...
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How to down weight correlations in my microarray analysis?

Background: I have been tasked in one part of my analysis to reproduce a method used in another study as follows in bullet points form: Microarray data from a number of time points Calculate ...
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Expected value of spurious correlation

We draw $N$ samples, each of size $n$, independently from a Normal $(\mu,\sigma^2)$ distribution. From the $N$ samples we then choose the 2 samples which have the highest (absolute) Pearson ...