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

DOI10.1016/S0304-4076(97)00041-9MaRDI QIDQ1371374zbMATH OpenOpenAlexFDO

Authors Horst Entorf

Publication date 7 January 1998

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

Full work available at URL https://doi.org/10.1016/s0304-4076(97)00041-9

zbMATH Keywords

random walksdriftsspurious regressionsfixed-effect models

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Recommendations

• A note on the distribution of the least squares estimator of a random walk with drift: Some analytical evidence
• Exact non-parametric tests for a random walk with unknown drift under conditional heteroscedasticity
• scientific article; zbMATH DE number 846034
• SPURIOUS REGRESSION BETWEEN I(1) PROCESSES WITH INFINITE VARIANCE ERRORS
• scientific article; zbMATH DE number 679927
• Consistent estimation in regression models for the drift function in some continuous time models
• Nonsense regressions due to neglected time-varying means
• SPURIOUS REGRESSIONS BETWEEN I(d) PROCESSES

Cites work

• scientific article; zbMATH DE number 3984433 (Why is no real title available?)
• Dynamic Econometrics
• Inference in Linear Time Series Models with some Unit Roots
• Spurious regressions in econometrics
• Trends versus Random Walks in Time Series Analysis
• Understanding spurious regressions in econometrics

Cited in

(19)

• Testing for correlation between traits under directional evolution
• The spurious regression of AR(\(p\)) infinite-variance sequence in the presence of structural breaks
• Spurious regression between long memory series due to mis-specified structural breaks
• Epicasting: an ensemble wavelet neural network for forecasting epidemics
• Testing for spurious and cointegrated regressions: A wavelet approach
• Spurious instrumental variables
• Spurious regression
• Testing for spurious regression in a panel data model with the individual number and time length growing
• Spurious correlation of \(I(0)\) regressors in models with an \(I(1)\) dependent variable
• Spurious regressions in time series with long memory
• Spurious Regression Under Broken-Trend Stationarity
• Spurious regressions with stationary processes around linear trends
• Spurious nonlinear regressions in econometrics
• Spurious regression due to neglected of non-stationary volatility
• Changes in persistence, spurious regressions and the Fisher hypothesis
• The long-run determinants of fertility: one century of demographic change 1900--1999
• A two-stage approach to semilinear in-slide models
• A simple solution for spurious regressions
• Asymptotic theory in fixed effects panel data seemingly unrelated partially linear regression models

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