Correlation theory of spuriously related higher order integrated processes

DOI10.1016/0165-1765(95)00738-5zbMath0875.62595OpenAlexW1987493584MaRDI QIDQ1351717

Francesc Marmol

Publication date: 27 February 1997

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0165-1765(95)00738-5

zbMATH Keywords

Correlation coefficientI(d) processes

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84)

Cites Work

• Modern concepts and theorems of mathematical statistics
• Understanding spurious regressions in econometrics
• Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data
• SPURIOUS REGRESSIONS BETWEEN I(d) PROCESSES

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