Spurious regression due to neglected of non-stationary volatility

DOI10.1007/S00180-016-0687-XMaRDI QIDQ2403404zbMATH OpenOpenAlexFDO

Authors Hao Jin, Si Zhang, Jinsuo Zhang

Publication date 8 September 2017

Published in Computational Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00180-016-0687-x

zbMATH Keywords

\(t\)-ratio testasymptotic propertiesnon-stationary volatilityspurious regression

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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Cited in

(2)

• Evidence of spurious regression driven by heavy-tailed observations with structural changes
• Spurious regressions driven by excessive volatility

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