Model specification test with correlated but not cointegrated variables

DOI10.1016/j.jeconom.2013.08.008zbMath1293.62098MaRDI QIDQ2512600

Cheng Hsiao, Shu Xu, Li Gan

Publication date: 7 August 2014

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2013.08.008

zbMATH Keywords

kernel estimation; varying coefficient; specification test; spurious regression

Mathematics Subject Classification ID

62G08: Nonparametric regression and quantile regression

62G10: Nonparametric hypothesis testing

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

91G70: Statistical methods; risk measures

91B84: Economic time series analysis

Related Items

Spurious functional-coefficient regression models and robust inference with marginal integration, Changes in persistence, spurious regressions and the Fisher hypothesis

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