SPURIOUS REGRESSIONS BETWEEN I(d) PROCESSES

DOI10.1111/j.1467-9892.1995.tb00236.xzbMath0819.62075OpenAlexW2102824217MaRDI QIDQ4837792

Francesc Marmol

Publication date: 30 August 1995

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1995.tb00236.x

zbMATH Keywords

weak convergencefractional differencingspurious regressionsI(d) processes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items

The spurious regression of AR(\(p\)) infinite-variance sequence in the presence of structural breaks ⋮ Correlation theory of spuriously related higher order integrated processes ⋮ Spurious regression ⋮ Spurious regressions between stationary generalized long memory processes ⋮ Spurious correlation of \(I(0)\) regressors in models with an \(I(1)\) dependent variable ⋮ Spurious regressions driven by excessive volatility ⋮ Changes in persistence, spurious regressions and the Fisher hypothesis ⋮ The spurious regression of fractionally integrated processes ⋮ Challenges of trending time series econometrics ⋮ Spurious Instrumental Variables ⋮ A simple solution for spurious regressions ⋮ Spurios regression theory with nonstationary fractionally integrated processes

Cites Work

• Unnamed Item
• A functional central limit theorem for weakly dependent sequences of random variables
• Understanding spurious regressions in econometrics
• Asymptotic Properties of Residual Based Tests for Cointegration
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Invariance principles for dependent variables