Testing for spurious and cointegrated regressions: A wavelet approach

DOI10.1080/02664760802638082OpenAlexW1978796442MaRDI QIDQ5123512

Weihong Huang, Chee Kian Leong

Publication date: 29 September 2020

Published in: Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02664760802638082

zbMATH Keywords

bootstrapMonte Carlo simulationscointegrationspurious regressionwavelet covariance and correlation

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (2)

Comment on testing for spurious and cointegrated regressions: a wavelet approach ⋮ Response to the comment on testing for spurious and cointegrated regressions: a wavelet approach

Uses Software

• bootstrap
• wmtsa

Cites Work

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• Understanding spurious regressions in econometrics
• Spurious regressions in econometrics
• Random walks with drifts: Nonsense regression and spurious fixed-effect estimation
• The Decomposition of Economic Relationships by Time Scale Using Wavelets: Expenditure and Income
• Wavelets in Economics and Finance: Past and Future
• AN ANALYSIS OF U.S. STOCK PRICE BEHAVIOR USING WAVELETS
• Wavelet scale analysisof bivariate time series ii:statistical properties for linear processes
• TESTING FOR SERIAL CORRELATION IN LEAST SQUARES REGRESSION. II

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