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

DOI10.1016/S0304-4076(97)00041-9zbMATH Open0887.62088OpenAlexW2093415484MaRDI QIDQ1371374FDOQ1371374

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

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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)

Cites Work

• Title not available (Why is that?)
• Inference in Linear Time Series Models with some Unit Roots
• Dynamic Econometrics
• Understanding spurious regressions in econometrics
• Spurious regressions in econometrics
• Trends versus Random Walks in Time Series Analysis

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
• Spurious regressions in time series with long memory
• 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 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 simple solution for spurious regressions
• A two-stage approach to semilinear in-slide models
• Asymptotic theory in fixed effects panel data seemingly unrelated partially linear regression models

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