Spurious Regressions with Time-Series Data: Further Asymptotic Results

DOI10.1080/03610920601041499zbMath1315.62023OpenAlexW2030547973MaRDI QIDQ3593522

David E. A. Giles

Publication date: 23 July 2007

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: http://www.uvic.ca/socialsciences/economics/assets/docs/econometrics/ewp0603.pdf

zbMATH Keywords

normalityasymptotic theoryunit rootsspurious regressionhomoskedasticity

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05) Economic time series analysis (91B84) Asymptotic properties of parametric tests (62F05)

Related Items (2)

Spurious regression ⋮ An empirical power comparison of univariate goodness-of-fit tests for normality

Uses Software

• shazam

Cites Work

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• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• Understanding spurious regressions in econometrics
• Spurious regressions in econometrics
• A maximal inequality and dependent strong laws
• The Lagrange Multiplier Test and its Applications to Model Specification in Econometrics
• A Test for Normality of Observations and Regression Residuals

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