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Cointegration and spurious regression: Enhancing delivery via replication, empirical application and simulation

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Swansea University Author: Steve Cook Orcid Logo

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DOI (Published version): 10.53593/n3536a

Abstract

Spurious regression and cointegration are familiar components of higher-level undergraduate and postgraduate econometrics courses. Drawing upon both empirical and simulation analysis, this paper discusses and demonstrates an active learning approach to the delivery of these topics. The approach pres...

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Published: The Economics Network The Economics Network 2022
URI: https://cronfa.swan.ac.uk/Record/cronfa70088
first_indexed 2025-08-01T16:01:50Z
last_indexed 2025-09-18T07:25:34Z
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spelling 2025-09-17T12:24:10.6301362 v2 70088 2025-08-01 Cointegration and spurious regression: Enhancing delivery via replication, empirical application and simulation fce851eab28f6d8126d9bcd88250c6d5 0000-0002-1820-8390 Steve Cook Steve Cook true false 2025-08-01 SOSS Spurious regression and cointegration are familiar components of higher-level undergraduate and postgraduate econometrics courses. Drawing upon both empirical and simulation analysis, this paper discusses and demonstrates an active learning approach to the delivery of these topics. The approach presented emphasises two forms of replication. While the first form relates to the familiar reproduction of empirical findings, the second alternative form considers the replication of results automatically generated by software. To support the adoption of the proposed active learning approach within the classroom, the resources employed in this paper are provided. These resources include both an adaptable programme to simulate artificial data and a data set allowing cointegration analysis to be illustrated via examination of the much-researched hypothesis of a ripple effect within the UK housing market. Consultancy Report The Economics Network The Economics Network 1 7 2022 2022-07-01 10.53593/n3536a COLLEGE NANME Social Sciences School COLLEGE CODE SOSS Swansea University 2025-09-17T12:24:10.6301362 2025-08-01T09:44:03.0224624 Faculty of Humanities and Social Sciences School of Social Sciences - Economics Steve Cook 0000-0002-1820-8390 1
title Cointegration and spurious regression: Enhancing delivery via replication, empirical application and simulation
spellingShingle Cointegration and spurious regression: Enhancing delivery via replication, empirical application and simulation
Steve Cook
title_short Cointegration and spurious regression: Enhancing delivery via replication, empirical application and simulation
title_full Cointegration and spurious regression: Enhancing delivery via replication, empirical application and simulation
title_fullStr Cointegration and spurious regression: Enhancing delivery via replication, empirical application and simulation
title_full_unstemmed Cointegration and spurious regression: Enhancing delivery via replication, empirical application and simulation
title_sort Cointegration and spurious regression: Enhancing delivery via replication, empirical application and simulation
author_id_str_mv fce851eab28f6d8126d9bcd88250c6d5
author_id_fullname_str_mv fce851eab28f6d8126d9bcd88250c6d5_***_Steve Cook
author Steve Cook
author2 Steve Cook
format Consultancy Report
publishDate 2022
institution Swansea University
doi_str_mv 10.53593/n3536a
publisher The Economics Network
college_str Faculty of Humanities and Social Sciences
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hierarchy_top_id facultyofhumanitiesandsocialsciences
hierarchy_top_title Faculty of Humanities and Social Sciences
hierarchy_parent_id facultyofhumanitiesandsocialsciences
hierarchy_parent_title Faculty of Humanities and Social Sciences
department_str School of Social Sciences - Economics{{{_:::_}}}Faculty of Humanities and Social Sciences{{{_:::_}}}School of Social Sciences - Economics
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description Spurious regression and cointegration are familiar components of higher-level undergraduate and postgraduate econometrics courses. Drawing upon both empirical and simulation analysis, this paper discusses and demonstrates an active learning approach to the delivery of these topics. The approach presented emphasises two forms of replication. While the first form relates to the familiar reproduction of empirical findings, the second alternative form considers the replication of results automatically generated by software. To support the adoption of the proposed active learning approach within the classroom, the resources employed in this paper are provided. These resources include both an adaptable programme to simulate artificial data and a data set allowing cointegration analysis to be illustrated via examination of the much-researched hypothesis of a ripple effect within the UK housing market.
published_date 2022-07-01T05:29:56Z
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score 11.089407

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