Spurious Regressions with Time-Series Data: Further Asymptotic Results
DOI10.1080/03610920601041499zbMATH Open1315.62023OpenAlexW2030547973MaRDI QIDQ3593522FDOQ3593522
Authors: David E. 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
Recommendations
- Spurious regressions in time series with long memory
- Spurious regressions with stationary processes around linear trends
- On spurious regressions with partial unit root processes
- Spurious Regression Under Broken-Trend Stationarity
- SPURIOUS REGRESSIONS BETWEEN I(d) PROCESSES
- A note on spurious regression in seasonal time series
- SPURIOUS REGRESSION BETWEEN I(1) PROCESSES WITH INFINITE VARIANCE ERRORS
Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Asymptotic properties of parametric tests (62F05) Economic time series analysis (91B84)
Cites Work
- A Test for Normality of Observations and Regression Residuals
- Title not available (Why is that?)
- Title not available (Why is that?)
- A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
- A maximal inequality and dependent strong laws
- The Lagrange Multiplier Test and its Applications to Model Specification in Econometrics
- Understanding spurious regressions in econometrics
- Spurious regressions in econometrics
Cited In (28)
- Trends versus Random Walks in Time Series Analysis
- New Tools for Understanding Spurious Regressions
- A CONVERGENT t-STATISTIC IN SPURIOUS REGRESSIONS
- Spurious regressions driven by excessive volatility
- Understanding spurious regressions in econometrics
- Spurious instrumental variables
- Spurious regression
- Spurious regression and lurking variables
- Spurious spatial regression with equal weights
- Spurious regressions and residual-based tests for cointegration when regressors are cointegrated
- Spurious regressions in time series with long memory
- Testing for spurious regression in a panel data model with the individual number and time length growing
- Diagnose the spurious regressions in nonparametric econometrics
- Spurious correlation of \(I(0)\) regressors in models with an \(I(1)\) dependent variable
- Spurious forecasts?
- Nonsense regressions due to neglected time-varying means
- A note on spurious regression in seasonal time series
- Local limit theory and spurious nonparametric regression
- Title not available (Why is that?)
- An empirical power comparison of univariate goodness-of-fit tests for normality
- Logarithmic spurious regressions
- Spurious regressions with stationary processes around linear trends
- A note on spurious nonlinear regression
- Robust inference for spurious regressions and cointegrations involving processes moderately deviated from a unit root
- Spurious regression due to neglected of non-stationary volatility
- Partial unit root and linear spurious regression: a Monte Carlo simulation study
- A simple solution for spurious regressions
- Spurious regressions in technical trading
Uses Software
This page was built for publication: Spurious Regressions with Time-Series Data: Further Asymptotic Results
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3593522)
