This article shows that the interpretation of statistical evidence of regime-switching is not unambiguous. The usual interpretation is that some parameters switch according to the values of a predefined latent variable. An alternative interpretation is that regime-switching, as a statistical evidence, is also possible when the linear model is underspecified and the omitted variable bias emerges. A formal test is proposed to verify a potentially spurious regression with regime-switching. Through this test, it is evident that regime-switching estimates presented in an academic paper, should be interpreted as a consequence of the misspecification considered here.