Spurious Regressions with Time-Series Data: Further Asymptotic Results

DOI10.1080/03610920601041499MaRDI QIDQ3593522zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

asymptotic theoryunit rootsnormalityspurious regressionhomoskedasticity

Mathematics Subject Classification ID

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)

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

Cites work

• scientific article; zbMATH DE number 777596 (Why is no real title available?)
• scientific article; zbMATH DE number 3274494 (Why is no real title available?)
• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• A Test for Normality of Observations and Regression Residuals
• A maximal inequality and dependent strong laws
• Spurious regressions in econometrics
• The Lagrange Multiplier Test and its Applications to Model Specification in Econometrics
• Understanding spurious regressions in econometrics

Cited in

(28)

• Partial unit root and linear spurious regression: a Monte Carlo simulation study
• Diagnose the spurious regressions in nonparametric econometrics
• Local limit theory and spurious nonparametric regression
• Spurious correlation of \(I(0)\) regressors in models with an \(I(1)\) dependent variable
• Spurious regressions and residual-based tests for cointegration when regressors are cointegrated
• A simple solution for spurious regressions
• Spurious instrumental variables
• Spurious regressions driven by excessive volatility
• Spurious regression due to neglected of non-stationary volatility
• Logarithmic spurious regressions
• Spurious regressions with stationary processes around linear trends
• Trends versus Random Walks in Time Series Analysis
• A note on spurious nonlinear regression
• Spurious spatial regression with equal weights
• Spurious regressions in time series with long memory
• scientific article; zbMATH DE number 3878183 (Why is no real title available?)
• A CONVERGENT t-STATISTIC IN SPURIOUS REGRESSIONS
• Spurious regression
• Testing for spurious regression in a panel data model with the individual number and time length growing
• Understanding spurious regressions in econometrics
• Robust inference for spurious regressions and cointegrations involving processes moderately deviated from a unit root
• A note on spurious regression in seasonal time series
• New Tools for Understanding Spurious Regressions
• Spurious regressions in technical trading
• Spurious regression and lurking variables
• Nonsense regressions due to neglected time-varying means
• Spurious forecasts?
• An empirical power comparison of univariate goodness-of-fit tests for normality

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