The spurious regression of AR(\(p\)) infinite-variance sequence in the presence of structural breaks

DOI10.1016/j.csda.2013.04.011zbMath1471.62099OpenAlexW2044277236MaRDI QIDQ1615082

Hao Jin, Jinsuo Zhang, Cong Yu, Si Zhang

Publication date: 2 November 2018

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2013.04.011

zbMATH Keywords

structural breaksspurious regression\(t\)-ratiosinfinite-variance sequence

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (3)

Ratio detections for change point in heavy tailed observations ⋮ Spurious regression due to neglected of non-stationary volatility ⋮ Spurious regression between long memory series due to mis-specified structural breaks

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