Spurious regression between long memory series due to mis-specified structural breaks
From MaRDI portal
Publication:5084732
DOI10.1080/03610918.2017.1288248OpenAlexW2584368752MaRDI QIDQ5084732
Publication date: 28 June 2022
Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610918.2017.1288248
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- A simple test of changes in mean in the possible presence of long-range dependence
- Generating schemes for long memory processes: regimes, aggregation and linearity
- Modelling structural breaks, long memory and stock market volatility: an overview
- Structural breaks with deterministic and stochastic trends
- Spurious regression
- Sample autocovariances of long-memory time series
- Understanding spurious regressions in econometrics
- Spurious regressions in econometrics
- Spurios regression theory with nonstationary fractionally integrated processes
- The asymptotics of single-equation cointegration regressions with I(1) and I(2) variables
- Random walks with drifts: Nonsense regression and spurious fixed-effect estimation
- The spurious regression of AR(\(p\)) infinite-variance sequence in the presence of structural breaks
- Spurious correlation of \(I(0)\) regressors in models with an \(I(1)\) dependent variable
- Change-point estimation of nonstationary \(I(d)\) processes
- The spurious regression of fractionally integrated processes
- Exact local Whittle estimation of fractional integration
- THE FUNCTIONAL CENTRAL LIMIT THEOREM AND WEAK CONVERGENCE TO STOCHASTIC INTEGRALS II
- The Fractional Unit Root Distribution
- Evidence of ARCH(1) Errors in the Context of Spurious Regressions
- Trends versus Random Walks in Time Series Analysis
- Change‐Point Estimation of Fractionally Integrated Processes
- LEAST SQUARES ESTIMATION OF A SHIFT IN LINEAR PROCESSES
- Limit theorems in change-point problems with multivariate long-range dependent observations
- On the robustness of cointegration tests when series are fractionally intergrated
- SPURIOUS REGRESSION BETWEEN I(1) PROCESSES WITH INFINITE VARIANCE ERRORS
- Co-Integration and Error Correction: Representation, Estimation, and Testing
- Long Memory Regressors and Predictive Testing: A Two-stage Rebalancing Approach
- New bootstrap inference for spurious regression problems
- Fractional Brownian Motions, Fractional Noises and Applications
This page was built for publication: Spurious regression between long memory series due to mis-specified structural breaks
