Spurious regressions driven by excessive volatility

DOI10.1016/j.econlet.2011.08.014zbMath1239.91126OpenAlexW1971159545MaRDI QIDQ427122

Chang Sik Kim, Sung Ro Lee

Publication date: 13 June 2012

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2011.08.014

zbMATH Keywords

stochastic volatilityspurious regressionnear-unit rootpersistency in volatility

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; risk measures (91G70) Economic time series analysis (91B84)

Cites Work

• Measurement errors and outliers in seasonal unit root testing
• Nonstationary nonlinear heteroskedasticity in regression
• Testing for unit roots in time series models with non-stationary volatility
• Bayesian analysis of stochastic volatility models with fat-tails and correlated errors
• Estimation of fractional integration in the presence of data noise
• Understanding spurious regressions in econometrics
• Spurious regressions in econometrics
• On the diminishing returns of higher-order terms in asymptotic expansions of bias
• Spurious regressions between stationary generalized long memory processes
• The spurious regression of fractionally integrated processes
• Unit Root Tests under Time-Varying Variances
• Nonlinear Regressions with Integrated Time Series
• SPURIOUS REGRESSIONS BETWEEN I(d) PROCESSES

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