# 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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21 views

### 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 ...
2k views

### 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 ...
87 views

### 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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277 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 ...
47 views

### 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 ...
109 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 ...
18 views

### 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 ...
868 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 ...
1k 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 ...
147 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 (...
2k 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 ...
4k 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 ...
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 ...
129 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 ...
173 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 ...
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 ...
506 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 ...
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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### 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 ...
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 ...
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 ...
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 ...