The spurious regression of fractionally integrated processes
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Publication:1973433
Recommendations
- Spurios regression theory with nonstationary fractionally integrated processes
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- SPURIOUS REGRESSIONS BETWEEN I(d) PROCESSES
- A wavelet solution to the spurious regression of fractionally differenced processes
- Spurious correlation under fractional integration in output series
- On spurious regressions with partial unit root processes
Cites work
- AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
- Fractional Brownian Motions, Fractional Noises and Applications
- Fractional differencing
- Long memory processes and fractional integration in econometrics
- Long memory relationships and the aggregation of dynamic models
- Multiple stochastic integrals with dependent integrators
- On the power of durbin-watson statistic against fractionally integrated processes
- Spurious Periodicity in Inappropriately Detrended Time Series
- SPURIOUS REGRESSIONS BETWEEN I(d) PROCESSES
- Spurious regressions in econometrics
- The Fractional Unit Root Distribution
- Time series: theory and methods.
- Trends versus Random Walks in Time Series Analysis
- Understanding spurious regressions in econometrics
Cited in
(34)- Spurios regression theory with nonstationary fractionally integrated processes
- Nonsense regressions due to neglected time-varying means
- The spurious regression of AR(\(p\)) infinite-variance sequence in the presence of structural breaks
- Horizon effect in the term structure of long-run risk-return trade-offs
- Spurious regressions with high-order models: a reconsideration
- Spurious regressions between stationary generalized long memory processes
- Spurious correlation of \(I(0)\) regressors in models with an \(I(1)\) dependent variable
- Consistent inference for predictive regressions in persistent economic systems
- Testing for parameter instability and structural change in persistent predictive regressions
- Spurious regression due to neglected of non-stationary volatility
- Challenges of trending time series econometrics
- Changes in persistence, spurious regressions and the Fisher hypothesis
- A simple solution for spurious regressions
- On the power of durbin-watson statistic against fractionally integrated processes
- Spurious regressions driven by excessive volatility
- Spurious regressions between I(1) processes with long memory errors
- SPURIOUS REGRESSION BETWEEN I(1) PROCESSES WITH INFINITE VARIANCE ERRORS
- A wavelet solution to the spurious regression of fractionally differenced processes
- CONSISTENT LOCAL SPECTRUM INFERENCE FOR PREDICTIVE RETURN REGRESSIONS
- Long Memory Regressors and Predictive Testing: A Two-stage Rebalancing Approach
- Spurious regression between long memory series due to mis-specified structural breaks
- Quantilograms under strong dependence
- Spurious regressions in time series with long memory
- Exact local Whittle estimation of fractionally cointegrated systems
- Mallows Distance in VARFIMA(0,d, 0) Processes
- Fractionally Integrated Long Horizon Regressions
- Semiparametric Estimation in Time‐Series Regression with Long‐Range Dependence
- Instrumental variables estimation of stationary and non‐stationary cointegrating regressions
- A CONVERGENT t-STATISTIC IN SPURIOUS REGRESSIONS
- Change point estimation in regressions with \(I(d)\) variables.
- Spurious regression
- Robust inference of panel data models with interactive fixed effects under long memory: a frequency domain approach
- Spurious multivariate regressions under fractionally integrated processes
- Spurious correlation under fractional integration in output series
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