Random walks with drifts: Nonsense regression and spurious fixed-effect estimation
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Publication:1371374
DOI10.1016/S0304-4076(97)00041-9zbMath0887.62088MaRDI QIDQ1371374
Publication date: 7 January 1998
Published in: Journal of Econometrics (Search for Journal in Brave)
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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