Spurious Regression Under Broken-Trend Stationarity

DOI10.1111/J.1467-9892.2006.00482.XMaRDI QIDQ3440762zbMATH OpenOpenAlexFDO

Authors Antonio E. Noriega, Daniel Ventosa-Santaulària

Publication date 29 May 2007

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL http://repec.org/sce2005/up.19309.1106961867.pdf

zbMATH Keywords

asymptotic behaviourordinary least squares estimatet-statistics

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Asymptotic properties of parametric estimators (62F12) Nonparametric hypothesis testing (62G10) Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• Spurious regressions of stationary AR(p) processes with structural breaks
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• Spurious Regressions with Time-Series Data: Further Asymptotic Results
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Cites work

• Estimating and Testing Linear Models with Multiple Structural Changes
• Growth states and shocks
• Random walks with drifts: Nonsense regression and spurious fixed-effect estimation
• Spurios regression theory with nonstationary fractionally integrated processes
• Spurious regressions in econometrics
• Spurious regressions with stationary processes around linear trends
• Stages of growth in economic development
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
• Understanding spurious regressions in econometrics
• Using stochastic growth models to understand unit roots and breaking trends

Cited in

(13)

• The spurious regression of AR(\(p\)) infinite-variance sequence in the presence of structural breaks
• Spurious regressions with stationary processes around linear trends
• Spurious nonlinear regressions in econometrics
• Inference on a structural break in trend with mildly integrated errors
• A simple solution for spurious regressions
• Evidence of spurious regression driven by heavy-tailed observations with structural changes
• Spurious regressions of stationary AR(p) processes with structural breaks
• Spurious instrumental variables
• Spurious Regressions with Time-Series Data: Further Asymptotic Results
• New bootstrap inference for spurious regression problems
• Useful conclusions from surprising results
• Spurious regression
• Spurious periodic autoregressions

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