Spurios regression theory with nonstationary fractionally integrated processes

DOI10.1016/S0304-4076(97)00085-7zbMath1041.62529MaRDI QIDQ1298444

Francesc Marmol

Publication date: 1998

Published in: Journal of Econometrics (Search for Journal in Brave)

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Linear regression; mixed models (62J05)

Related Items (20)

The spurious regression of AR(\(p\)) infinite-variance sequence in the presence of structural breaks ⋮ Spurious regression due to neglected of non-stationary volatility ⋮ Spurious regression between long memory series due to mis-specified structural breaks ⋮ Spurious regression ⋮ Spurious nonlinear regressions in econometrics ⋮ Spurious regressions between stationary generalized long memory processes ⋮ Spurious correlation of \(I(0)\) regressors in models with an \(I(1)\) dependent variable ⋮ Nonsense regressions due to neglected time-varying means ⋮ Changes in persistence, spurious regressions and the Fisher hypothesis ⋮ A CONVERGENT t-STATISTIC IN SPURIOUS REGRESSIONS ⋮ Transmission characteristics of investor sentiment for energy stocks from the perspective of a complex network ⋮ Challenges of trending time series econometrics ⋮ Spurious Instrumental Variables ⋮ A simple solution for spurious regressions ⋮ UNBALANCED COINTEGRATION ⋮ Spurious Regressions in Time Series with Long Memory ⋮ A RESIDUAL-BASED LM-TYPE TEST AGAINST FRACTIONAL COINTEGRATION ⋮ A model of fractional cointegration, and tests for cointegration using the bootstrap. ⋮ Spurious Regression Under Broken-Trend Stationarity ⋮ Trend stationarity versus long-range dependence in time series analysis

Cites Work

• Spurious regressions when stationary regressors are included
• Understanding spurious regressions in econometrics
• Long memory relationships and the aggregation of dynamic models
• Spurious regressions in econometrics
• The asymptotics of single-equation cointegration regressions with I(1) and I(2) variables
• Long memory processes and fractional integration in econometrics
• Fractional differencing
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• SPURIOUS REGRESSIONS BETWEEN I(d) PROCESSES

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