Questions tagged [spurious-correlation]

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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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11 views

Connection between cointegration and spurious regressions

My lecturer defines a spurious regression as one in which we frequently reject the null hypothesis, even when the null is true. The null hypothesis is given by: $H_0:$ $\beta = 0$ (Essentially, the ...
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Discriminating Between Spurious and Real Relationships With Algorithmic Information

The standard means of avoiding spurious relationships is to predict them. However, it seems that this can also be accomplished with sufficiently sophisticated exploratory modeling, involving, say, ...
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Risk of Spurious Relationships As a Function of 3 Magnitudes: # Times Sampled, # Individuals Sampled and # Variables Measured

I've seen some literature that quantifies the risk of spurious relationships in terms of sample size vs number of variables but I've not seen literature that quantifies the risk based on all 3 ...
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1answer
37 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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1answer
75 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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103 views

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
186 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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1answer
47 views

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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1answer
13 views

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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1answer
21 views

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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331 views

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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1answer
77 views

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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469 views

“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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1answer
457 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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1answer
80 views

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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1answer
45 views

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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2answers
129 views

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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4answers
738 views

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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1answer
62 views

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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195 views

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 ...
3
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1answer
89 views

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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1answer
630 views

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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1answer
827 views

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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130 views

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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1answer
1k views

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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2answers
2k views

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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1answer
215 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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0answers
124 views

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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1answer
140 views

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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0answers
238 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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2answers
354 views

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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1answer
197 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 ...