Testing for spurious regression in a panel data model with the individual number and time length growing

DOI10.1080/02664760600741989zbMath1119.62357OpenAlexW1983947590MaRDI QIDQ3592616

Wen-Den Chen

Publication date: 13 September 2007

Published in: Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02664760600741989

zbMATH Keywords

panel data modeltaperingspurious regressionWhittle methodpseudo spectral density function

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03) Monte Carlo methods (65C05)

Related Items (1)

Detecting and identifying interventions with the Whittle spectral approach in a long memory panel data model

Cites Work

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• Spurious regressions in econometrics
• Inference for unit roots in dynamic panels where the time dimension is fixed
• Spurious regression and residual-based tests for cointegration in panel data
• Testing of unit root and other nonstationary hypotheses in macroeconomic time series
• Random walks with drifts: Nonsense regression and spurious fixed-effect estimation
• Nonstationary panel data analysis: an overview of some recent developments
• Whittle Pseudo-Maximum Likelihood Estimation for Nonstationary Time Series
• Maximum Likelihood Estimation of Misspecified Models

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