Random walks with drifts: Nonsense regression and spurious fixed-effect estimation

DOI10.1016/S0304-4076(97)00041-9zbMath0887.62088MaRDI QIDQ1371374

Horst Entorf

Publication date: 7 January 1998

Published in: Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

random walks; drifts; spurious regressions; fixed-effect models

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62M05: Markov processes: estimation; hidden Markov models

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Cites Work

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• Spurious regressions in econometrics
• Inference in Linear Time Series Models with some Unit Roots
• Trends versus Random Walks in Time Series Analysis
• Dynamic Econometrics