Tag Archives: spurious

Spurious Significance #3: Some DW Statistics

Granger and Newbold [1974] provided examples of spurious significance in a random walk context. This has been extended by various authors to a number of other persistent processes. Granger and Newbold suggested that the DW statistic could be used to test the autocorrelation in the residuals, giving a test that could be used in a […]

Spurious Significance #2 : Granger and Newbold 1974

"Spurious significance" was a phrase used in the title of our GRL article. We regarded this as perhaps the most essential point of the article, but it seems to have gotten lost. This is the second of a planned series of notes on spurious significance, to give a sense of the statistical background. Granger and […]

Spurious Significance #1

I’ve had a number of requests to explain some statistical topics and tests of significance. I’d rather not get involved in an explanation of general statistical concepts, which are perfectly well covered in many other places. However, I am going to post some notes up on “spurious significance”, which, after all, was part of the […]

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