Spurious Periodicity in Inappropriately Detrended Time Series
From MaRDI portal
Publication:3922059
DOI10.2307/1911520zbMath0468.62099OpenAlexW3121750864MaRDI QIDQ3922059
Heejoon Kang, Charles R. Nelson
Publication date: 1981
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: https://ageconsearch.umn.edu/record/269059/files/twerp161.pdf
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)
Related Items (26)
Robust estimation for structural spurious regressions and a Hausman-type cointegration test ⋮ Introduction: Journal of Econometrics special issue honoring the research contributions of Charles R. Nelson ⋮ The Beveridge-Nelson decomposition in retrospect and prospect ⋮ An observation on regression-based specification tests ⋮ Methods of analyzing nonstationary time series with implicit changes in their properties ⋮ Effects of the Hodrick-Prescott filter on trend and difference stationary time series ⋮ Fractional integration and data frequency ⋮ Nonlinear effects of fiscal policy over the business cycle ⋮ Unit root testing ⋮ Moment ratio estimation of autoregressive/unit root parameters and autocorrelation-consistent standard errors ⋮ Testing of unit root and other nonstationary hypotheses in macroeconomic time series ⋮ ALGORITHMS FOR ESTIMATION OF POSSIBLY NONSTATIONARY VECTOR TIME SERIES ⋮ Spurious regression ⋮ Cycles, syllogisms and semantics: examining the idea of spurious cycles ⋮ Structural VARs, deterministic and stochastic trends: how much detrending matters for shock identification ⋮ A class of fast and accurate deterministic trend decomposition in the spectral domain using simple and sharp diffusive filters ⋮ The spurious regression of fractionally integrated processes ⋮ Pfriodograms of unit root time series: distributions and tests ⋮ Convergence empirics across economies with (some) capital mobility. ⋮ International Business Cycle Asymmetry and Time Irreversible Nonlinearities ⋮ A strategy for testing the unit root in AR(1) model with intercept: a Monte Carlo experiment ⋮ Model combination in neural-based forecasting ⋮ Estimating and testing rational expectations models when the trend specification is uncertain. ⋮ A critique of the application of unit root tests ⋮ A simple solution for spurious regressions ⋮ Multivariate detrending under common trend restrictions: implications for business cycle research
This page was built for publication: Spurious Periodicity in Inappropriately Detrended Time Series
