The spurious regression of fractionally integrated processes
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Publication:1973433
DOI10.1016/S0304-4076(99)00056-1zbMath1054.62586OpenAlexW1990845510MaRDI QIDQ1973433
Publication date: 2000
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0304-4076(99)00056-1
Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
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Cites Work
- Understanding spurious regressions in econometrics
- Multiple stochastic integrals with dependent integrators
- Long memory relationships and the aggregation of dynamic models
- Time series: theory and methods.
- Spurious regressions in econometrics
- Long memory processes and fractional integration in econometrics
- The Fractional Unit Root Distribution
- Trends versus Random Walks in Time Series Analysis
- Fractional differencing
- Spurious Periodicity in Inappropriately Detrended Time Series
- AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
- On the power of durbin-watson statistic against fractionally integrated processes
- SPURIOUS REGRESSIONS BETWEEN I(d) PROCESSES
- Fractional Brownian Motions, Fractional Noises and Applications
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