On spurious regressions with partial unit root processes

DOI10.1016/J.ECONLET.2016.11.028zbMath1400.62200OpenAlexW2555365963MaRDI QIDQ1672774

Yundong Tu

Publication date: 11 September 2018

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

Full work available at URL: https://doi.org/10.1016/j.econlet.2016.11.028

zbMATH Keywords

spurious regressionbalanced regressionpartial near unit root

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (2)

Robust inference for spurious regressions and cointegrations involving processes moderately deviated from a unit root ⋮ Spurious regressions with high-order models: a reconsideration

Cites Work

• Spurious regression
• Understanding spurious regressions in econometrics
• Asymptotic inference for nearly nonstationary AR(1) processes
• Spurious regressions in econometrics
• Partial unit root and linear spurious regression: a Monte Carlo simulation study
• Threshold Autoregression with a Unit Root

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