AN ALTERNATIVE APPROACH FOR TESTING FOR LINEAR ASSOCIATION FOR TWO INDEPENDENT STATIONARY AR(1) PROCESSES

Christos Agiakloglou (1)

1 Economics

Spurious correlations occur when two independent time series are found to be correlated according to the typical statistical procedure for testing the null hypothesis of zero correlation in the population. Using a Monte Carlo analysis, this study examines the spurious correlation phenomenon for two independent stationary AR(1) processes and it finds that if an alternative testing procedure is applied to these two series, the spurious behavior is eliminated using the variance of the sample correlation coefficient of these two series, suggested by Bartlett (1935).

Mots clés: Social Sciences & Humanities

Domaines: Économie et finance quantitative [q-fin]

Christos Agiakloglou. AN ALTERNATIVE APPROACH FOR TESTING FOR LINEAR ASSOCIATION FOR TWO INDEPENDENT STATIONARY AR(1) PROCESSES. Applied Economics, 2011, 44 (36), pp.4799-4803. ⟨10.1080/00036846.2011.595695⟩. ⟨hal-00730233⟩