Robust estimation for structural spurious regressions and a Hausman-type cointegration test

DOI10.1016/j.jeconom.2007.06.003zbMath1418.62311OpenAlexW1976486852MaRDI QIDQ290961

Masao Ogaki, Chi-Young Choi, Ling Hu

Publication date: 3 June 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2007.06.003

zbMATH Keywords

spurious regressiondynamic regressionGLS correction methodtest for cointegration

Mathematics Subject Classification ID

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

Related Items (8)

ROBUST ESTIMATION AND INFERENCE FOR THRESHOLD MODELS WITH INTEGRATED REGRESSORS ⋮ Spurious functional-coefficient regression models and robust inference with marginal integration ⋮ Moment ratio estimation of autoregressive/unit root parameters and autocorrelation-consistent standard errors ⋮ Spurious regression due to neglected of non-stationary volatility ⋮ On the asymptotic \(t\)-test for large nonstationary panel models ⋮ A simple solution of the spurious regression problem ⋮ Inferential theory for heterogeneity and cointegration in large panels ⋮ Consistent estimator of nonparametric structural spurious regression model for high frequency data

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