Comment on testing for spurious and cointegrated regressions: a wavelet approach

DOI10.1080/02664763.2015.1005583OpenAlexW2032868989MaRDI QIDQ5130292

Javier Fernández-Macho

Publication date: 4 November 2020

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

Full work available at URL: https://doi.org/10.1080/02664763.2015.1005583

zbMATH Keywords

wavelet analysisspectral analysisintegrated processtime series modelseconometric methodsunitroots

Mathematics Subject Classification ID

Statistics (62-XX)

Uses Software

• wmtsa

Cites Work

• Understanding spurious regressions in econometrics
• Orthonormal bases of compactly supported wavelets
• Ten Lectures on Wavelets
• Testing for spurious and cointegrated regressions: A wavelet approach
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