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Spurious Regression in Time-Wise Autocorrelated and Cross-Sectionally Heteroskedastic Procedures

Spurious regression is a serious problem in empirical research when time series has unit roots. This problem might exist when we apply a regression procedure for pooling time series and cross-section data. There are several models to pool time series and cross-section data in regression context, e.g. fixed effect or random effect model. Recently, Entorf [1997] and Kao [1999] also pointed out that the spurious regression is still unsolved problem when we apply the least squares with dummy variable (LSDV) procedure for pooling time series and cross-section data.