Spurious correlation under fractional integration in output series

DOI10.1016/j.econlet.2010.01.014zbMath1203.91231OpenAlexW2063422836MaRDI QIDQ974192

Mehmet Dalkır

Publication date: 27 May 2010

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

Full work available at URL: https://doi.org/10.1016/j.econlet.2010.01.014

zbMATH Keywords

fractional integrationstochastic systemsoutput correlations

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84) Statistical methods; economic indices and measures (91B82)

Related Items (1)

Existence and uniqueness of solutions for a fractional order antiperiodic boundary value problem with a \(p\)-Laplacian operator

Cites Work

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• Understanding spurious regressions in econometrics
• Spurious regressions in econometrics
• The spurious regression of fractionally integrated processes
• Using Difference-Based Methods for Inference in Regression with Fractionally Integrated Processes
• SAMPLE MEANS, SAMPLE AUTOCOVARIANCES, AND LINEAR REGRESSION OF STATIONARY MULTIVARIATE LONG MEMORY PROCESSES
• Stochastic Calculus for Fractional Brownian Motion and Applications
• An Asymptotic | chi 2 Test for the Equality of Two Correlation Matrices

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