Nonstationary regression models with a lagged dependent variable

DOI10.1080/03610929608831780zbMATH Open0900.62490OpenAlexW2170334775MaRDI QIDQ4337208FDOQ4337208

Authors: Tony S. Wirjanto, Robert A. Amano 

Publication date: 19 May 1997

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

Full work available at URL: https://doi.org/10.1080/03610929608831780

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zbMATH Keywords

time seriescointegrationintegrationspurious regressiondynamic regression

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Time Series Regression with a Unit Root
• Understanding spurious regressions in econometrics
• Spurious regressions in econometrics

Cited In (4)

• The failure of orthogonality under nonstationarity: should we care about it?
• Non-stationary structural model with time-varying demand elasticities
• Non-stationary regression with logistic transition
• Nonstationary dynamic models with finite dependence

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