Robust estimation for structural spurious regressions and a Hausman-type cointegration test
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Publication:290961
DOI10.1016/J.JECONOM.2007.06.003zbMATH Open1418.62311OpenAlexW1976486852MaRDI QIDQ290961FDOQ290961
Authors: Chi-Young Choi, Ling Hu, Masao Ogaki 
Publication date: 3 June 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2007.06.003
Recommendations
- Robust inference for spurious regressions and cointegrations involving processes moderately deviated from a unit root
- Spurious regressions and residual-based tests for cointegration when regressors are cointegrated
- Spurious regression and residual-based tests for cointegration in panel data
- Identification robust inference in cointegrating regressions
- Robust estimation in a nonlinear cointegration model
- Testing for spurious and cointegrated regressions: A wavelet approach
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)
Cites Work
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- Errors in Variables
- LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
- A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems
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- A cointegration approach to estimating preference parameters
- The functional central limit theorem and weak convergence to stochastic integrals. I: Weakly dependent processes
- Understanding spurious regressions in econometrics
- Spurious regressions in econometrics
- Trends versus Random Walks in Time Series Analysis
- New Tools for Understanding Spurious Regressions
- The middle class consensus and economic development
- Asymptotic Equivalence of Ordinary Least Squares and Generalized Least Squares in Regressions With Integrated Regressors
- Spurious Periodicity in Inappropriately Detrended Time Series
Cited In (11)
- Inferential theory for heterogeneity and cointegration in large panels
- Testing for spurious and cointegrated regressions: A wavelet approach
- Estimation and inference in time series with omitted \(I(1)\) variables
- Robust estimation and inference for threshold models with integrated regressors
- Spurious functional-coefficient regression models and robust inference with marginal integration
- Moment ratio estimation of autoregressive/unit root parameters and autocorrelation-consistent standard errors
- Consistent estimator of nonparametric structural spurious regression model for high frequency data
- On the asymptotic \(t\)-test for large nonstationary panel models
- Robust inference for spurious regressions and cointegrations involving processes moderately deviated from a unit root
- Spurious regression due to neglected of non-stationary volatility
- A simple solution of the spurious regression problem
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