New Tools for Understanding Spurious Regressions

DOI10.2307/2999618MaRDI QIDQ4530928zbMATH OpenOpenAlexFDO

Authors Peter C. B. Phillips

Publication date 28 May 2002

Published in Econometrica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/2999618

Mathematics Subject Classification ID

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

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Cited in

(44)

• Weak -convergence: theory and applications
• Trending time series and macroeconomic activity: Some present and future challenges
• New unit root asymptotics in the presence of deterministic trends.
• Testing for episodic predictability in stock returns
• Global temperatures and greenhouse gases: a common features approach
• The effect of recursive detrending on panel unit root tests
• Semiparametric estimation in triangular system equations with nonstationarity
• Spectral density and spectral distribution inference for long memory time series via fixed-b asymptotics
• Challenges of trending time series econometrics
• Optimal estimation of cointegrated systems with irrelevant instruments
• A simple solution for spurious regressions
• Unit roots: a selective review of the contributions of Peter C. B. Phillips
• Linear nonstationary models -- a review of the work of Professor P.C.B. Phillips
• The available information for invariant tests of a unit root
• A theory of robust long-run variance estimation
• Robust estimation for structural spurious regressions and a Hausman-type cointegration test
• Clive W. J. Granger and cointegration
• Revisiting tests for neglected nonlinearity using artificial neural networks
• Testing for unit roots and the impact of quadratic trends, with an application to relative primary commodity prices
• UNIT ROOT TESTING IN PRACTICE: DEALING WITH UNCERTAINTY OVER THE TREND AND INITIAL CONDITION
• SIMPLE, ROBUST, AND POWERFUL TESTS OF THE BREAKING TREND HYPOTHESIS
• Semiparametric cointegrating rank selection
• A note on spurious regression in seasonal time series
• THE IMPOSSIBILITY OF CONSISTENT DISCRIMINATION BETWEEN I(0) AND I(1) PROCESSES
• Local limit theory and spurious nonparametric regression
• THE PROPERTIES OF KULLBACK–LEIBLER DIVERGENCE FOR THE UNIT ROOT HYPOTHESIS
• Instrumental variable and variable addition based inference in predictive regressions
• SPECTRAL FINANCIAL ECONOMETRICS
• Useful conclusions from surprising results
• A CONVERGENT t-STATISTIC IN SPURIOUS REGRESSIONS
• HAC ESTIMATION BY AUTOMATED REGRESSION
• A SMOOTHING METHOD THAT LOOKS LIKE THE HODRICK–PRESCOTT FILTER
• Robust inference for predictability in smooth transition predictive regressions
• Spurious regression
• Specification tests for time-varying coefficient models
• Yule's ``nonsense correlation for Gaussian random walks
• High-dimensional IV cointegration estimation and inference
• Comment
• Yule's ``Nonsense correlation: moments and density
• Cointegrating polynomial regressions with power law trends
• Spurious factors in data with local-to-unit roots
• Limit theory and inference in non-cointegrated functional coefficient regression
• Spatial unit roots and spurious regression
• Generalized runs tests for the IID hypothesis

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