Evidence of ARCH(1) Errors in the Context of Spurious Regressions

DOI10.1080/03610910903132070zbMath1196.62113OpenAlexW1984420284MaRDI QIDQ3652722

Christos Agiakloglou

Publication date: 16 December 2009

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610910903132070

zbMATH Keywords

spurious regressionserially correlated errorsARCH(1) errorsstationary and non stationary processes

Mathematics Subject Classification ID

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

Related Items (2)

The spurious regression of AR(\(p\)) infinite-variance sequence in the presence of structural breaks ⋮ Spurious regression between long memory series due to mis-specified structural breaks

Cites Work

• Understanding spurious regressions in econometrics
• Spurious regressions in econometrics
• Error Mis-Specification and Spurious Regressions

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