Spurious regressions between stationary generalized long memory processes
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Publication:1929069
DOI10.1016/j.econlet.2005.10.009zbMath1255.62284OpenAlexW2020522976MaRDI QIDQ1929069
Publication date: 7 January 2013
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.econlet.2005.10.009
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Related Items (3)
Spurious regression due to neglected of non-stationary volatility ⋮ Spurious regression ⋮ Spurious regressions driven by excessive volatility
Cites Work
- Understanding spurious regressions in econometrics
- Spurious regressions in econometrics
- Spurios regression theory with nonstationary fractionally integrated processes
- Estimating a generalized long memory process
- The spurious regression of fractionally integrated processes
- ON GENERALIZED FRACTIONAL PROCESSES
- ON GENERALIZED FRACTIONAL PROCESSES – A CORRECTION
- SPURIOUS REGRESSIONS BETWEEN I(d) PROCESSES
- A GENERALIZED FRACTIONALLY INTEGRATED AUTOREGRESSIVE MOVING-AVERAGE PROCESS
- A CONVERGENT t-STATISTIC IN SPURIOUS REGRESSIONS
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