Robust inference for spurious regressions and cointegrations involving processes moderately deviated from a unit root
DOI10.1016/J.JECONOM.2020.04.038zbMATH Open1464.62387OpenAlexW3023194790MaRDI QIDQ2227074FDOQ2227074
Authors: Yingqian Lin, Yundong Tu 
Publication date: 9 February 2021
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2020.04.038
Recommendations
\(t\)-statisticrobust inferencespurious regressionslocal parameterprocesses moderately deviated from a unit root
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20)
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Cited In (8)
- ESTIMATION AND INFERENCE WITH NEAR UNIT ROOTS
- Testing for explosive bubbles: a review
- Robust estimation for structural spurious regressions and a Hausman-type cointegration test
- Spurious functional-coefficient regression models and robust inference with marginal integration
- On spurious regressions with partial unit root processes
- Forecasting vector autoregressions with mixed roots in the vicinity of unity
- CONSISTENT LOCAL SPECTRUM INFERENCE FOR PREDICTIVE RETURN REGRESSIONS
- Robust inference with stochastic local unit root regressors in predictive regressions
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