Nonsense regressions due to neglected time-varying means
type: Item
instance of: scholarly article
title: Nonsense regressions due to neglected time-varying means
zbMATH Open document ID: 1017.62077
author: Uwe Hassler
published in: Statistical Papers
publication date: 2003-08-31T00:00:00Z
Mathematics Subject Classification ID: 62M10
zbMATH DE Number: 1972537
zbMATH Keywords: level shifts
zbMATH Keywords: deterministic seasonality
zbMATH Keywords: spurious correlations
MaRDI profile type: Publication
full work available at URL: s00362-003-0144-0
OpenAlex ID: W1964382475
cites work: Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data
cites work: Spurious regressions between I(1) processes with long memory errors
cites work: Spurious regressions and residual-based tests for cointegration when regressors are cointegrated
cites work: Spurious regressions in econometrics
cites work: The asymptotics of single-equation cointegration regressions with I(1) and I(2) variables
cites work: Spurious regressions when stationary regressors are included
cites work: Spurios regression theory with nonstationary fractionally integrated processes
cites work: The asymptotic behaviour of the Dickey-Fuller tests under the crash hypothesis.
cites work: The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
cites work: Understanding spurious regressions in econometrics
cites work: The spurious regression of fractionally integrated processes
cites work: A note on computing \(r\)-squared and adjusted \(r\)-squared for trending and seasonal data
DOI: 10.1007/S00362-003-0144-0
description: scientific article; zbMATH DE number 1972537