Spurious nonlinear regressions in econometrics

DOI10.1016/j.econlet.2004.10.016zbMath1255.62368OpenAlexW2049228739MaRDI QIDQ1927829

Tae-Hwan Kim, Young-Sook Lee, Paul Newbold

Publication date: 2 January 2013

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

Full work available at URL: http://repec.org/res2004/LeeKimNewbold.pdf

zbMATH Keywords

random walksnonlinear tests

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Parametric hypothesis testing (62F03) Point estimation (62F10) General nonlinear regression (62J02) Sums of independent random variables; random walks (60G50)

Related Items (4)

Spurious regression ⋮ A note on spurious nonlinear regression ⋮ Linear Cointegration of Nonlinear Time Series with an Application to Interest Rate Dynamics ⋮ DETECTION OF FUNCTIONAL FORM MISSPECIFICATION IN COINTEGRATING RELATIONS

Cites Work

• Understanding spurious regressions in econometrics
• Testing for neglected nonlinearity in time series models. A comparison of neural network methods and alternative tests
• Spurious regressions in econometrics
• Spurios regression theory with nonstationary fractionally integrated processes
• The asymptotics of single-equation cointegration regressions with I(1) and I(2) variables
• An introduction to stochastic unit-root processes
• Random walks with drifts: Nonsense regression and spurious fixed-effect estimation
• Nonlinear Regressions with Integrated Time Series

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