Random walks with drifts: Nonsense regression and spurious fixed-effect estimation
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Publication:1371374
DOI10.1016/S0304-4076(97)00041-9zbMath0887.62088OpenAlexW2093415484MaRDI QIDQ1371374
Publication date: 7 January 1998
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0304-4076(97)00041-9
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Markov processes: estimation; hidden Markov models (62M05)
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