On the effects of non-robustness in the spurious regression model

Abstract

The effects of violation of basic assumptions on spurious regression with Time Series data was carried out. The requirements of establishing non-robustness of a Time Series regression model, identification of spurious regression through formal process were illustrated with foreign exchange of Nigeria, United state of America and Great Britain. It was found that violation of these assumptions play an important role in determining if a spurious regression emanates from the statistically related model for reliable predictive purposes.

Keywords: Spurious regression, non robustness and foreign exchange.