A simple solution of the spurious regression problem

DOI10.1515/SNDE-2015-0040MaRDI QIDQ2691758zbMATH OpenOpenAlexFDO

Authors Cindy Shin-Huei Wang, Christian M. Hafner

Publication date 30 March 2023

Published in Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1515/snde-2015-0040

zbMATH Keywords

autoregressive approximationcointegrationgeneralized Cochrane-Orcutt estimationspurious regression

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Cites work

• A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems
• Asymptotic Properties of Residual Based Tests for Cointegration
• Asymptotically efficient selection of the order of the model for estimating parameters of a linear process
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Consistent autoregressive spectral estimates
• Differencing as a Test of Specification
• On same-realization prediction in an infinite-order autoregressive process.
• Robust estimation for structural spurious regressions and a Hausman-type cointegration test
• Spurious regressions in econometrics
• The asymptotics of single-equation cointegration regressions with I(1) and I(2) variables
• Time series: theory and methods.
• Understanding spurious regressions in econometrics

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