Spurious regressions with high-order models: a reconsideration

DOI10.1016/J.ECONLET.2018.04.007zbMATH Open1401.62182OpenAlexW2797167430MaRDI QIDQ1787610FDOQ1787610

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

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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)

Cites Work

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

Cited In (1)

• Spurious multivariate regressions under fractionally integrated processes

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