Spurious regression between I(1) processes with infinite variance errors 

[[abstract]]This paper considers spurious regression between integrated processes with stable errors. Our results show that the t-ratios diverge at the rate of root T, which is identical to what Phillips (1986 Journal of Econometrics 33, 311-340) has obtained for the Gaussian case. Therefore, it is the long memory in the dependent variable and regressors, instead of the moment conditions of the error terms, that causes the spurious regression.[[note]]SSC