Evidence of spurious regression driven by heavy-tailed observations with structural changes

DOI10.1080/03610918.2014.990098MaRDI QIDQ2974914zbMATH OpenOpenAlexFDO

Authors Hao Jin, Danshi Zhang, Jinsuo Zhang, Si Zhang

Publication date 11 April 2017

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610918.2014.990098

zbMATH Keywords

\(t\)-statisticheavy-tailed observationsspurious regressionstructural changes

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Linear regression; mixed models (62J05)

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Cited in

(3)

• The spurious regression of AR(\(p\)) infinite-variance sequence in the presence of structural breaks
• Spurious regressions of stationary AR(p) processes with structural breaks
• Heavy tails of OLS

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