Tag Archives: ferson

Ferson et al. on Interactions between Data Mining and Spurious Regression

Sep 22, 2005 – 9:16 AM

One of the papers that has most informed my views on multiproxy studies (and I’ve mentioned it from time to time) is Ferson et al. [2003], Understanding Spurious Regressions in Financial Economics which I read a couple of years ago. "Spurious regression" here is a false relationship between series, frequently observed with highly autocorrelated series […]

By Stephen McIntyre | Posted in Spurious, Statistics | Also tagged | Comments (60)