Spurious forecasts?

Abstract

In this thesis we prove, by means of an extension of Noriega and Ventosa- Santaulària (2007) asymptotic results, that forecasts built upon spurious regression may perform (asymptotically) as well as those issued from a correctly specified regression. This we do by proving that many of the most popular in-sample and out-of-sample predictability criteria (PrCr, hereinafter) behave asymptotically in the same manner whether the inference is spurious or not.