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I attended guest lecture where the speaker said that one way how to make a career in economics is to just point that some methods are bad or do not work as intended.

The speaker mentioned some paper, I forgot to write down the name or the year he mentioned. However, the speaker said that:

  • the paper was seminal.
  • the paper showed that unit roots lead to spurious regressions. The paper did not offer solution to this at that time, just showed it is a serious problem.
  • the paper was highly cited.
  • the paper was written for economists/econometricias (it was not pure statistics/data science paper).

The author of the seminar was talking about Granger a lot, but the topic of the talk was cointegration, and Granger is the only name I remember from the talk. I do not think he was the author since he is supposed to be the guy who came with the solution of testing for cointegration and building error correction model, but I guess it is possible he first pointed the problem and later found a solution.

I tried to contact the speaker using the email address at his university but I already did that few months ago and did not get any response. I also tried just doing a wild google scholar search but I am not sure what to look for. Any guidance on what the author and name of this paper is would be appreciated.

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I was thinking of this one: Granger, Clive WJ, and Paul Newbold. "Spurious regressions in econometrics." Journal of econometrics 2.2 (1974): 111-120. Available here, http://www.climateaudit.info/pdf/others/granger.1974.pdf.

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