Multiple Choice
Which of the following statements is true of spurious regressions?
A) The OLS estimates of the population parameters are efficient and unbiased and the t statistic is valid.
B) Even if the explanatory variables and the dependent variable are independent times series processes, the R2 can be large.
C) Spurious regressions are limited to I(0) processes, and are not possible in case of I(1) processes.
D) Spurious regressions are limited to I(1) processes, and are not possible in case of I(0) processes.
Correct Answer:
Verified
Correct Answer:
Verified
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