Economics · Econometrics
According to Granger and Newbold, a good rule of thumb to suspect that the estimated regression is spurious is given by:
Verified Solution4 OptionsUpdated: October 2026👁️1 View
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- 1High R2 and low F-value (R2 > F)
- 2High R2 and low Durbin-Watson d-value (R2 > d)✓
- 3High t-values with low Durbin-Watson d-value (t > d)
- 4High R2 with low t-value (R2 > t)
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High R2 and low Durbin-Watson d-value (R2 > d)
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