Spurious regressions with high-order models: a reconsideration

DOI10.1016/J.ECONLET.2018.04.007MaRDI QIDQ1787610zbMATH OpenOpenAlexFDO

Authors Lingxiang Zhang

Publication date 5 October 2018

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2018.04.007

zbMATH Keywords

spurious regressionhigh-order modelsbalanced regression

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Recommendations

• On spurious regressions with partial unit root processes
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Cites work

• On spurious regressions with partial unit root processes
• Partial unit root and linear spurious regression: a Monte Carlo simulation study
• Spurious regressions in econometrics

Cited in

(2)

• Spurious multivariate regressions under fractionally integrated processes
• On spurious regressions with partial unit root processes

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