Nonstationary regression models with a lagged dependent variable

DOI10.1080/03610929608831780MaRDI QIDQ4337208zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

time seriescointegrationintegrationspurious regressiondynamic regression

Mathematics Subject Classification ID

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

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• Nonlinear regressions with nonstationary time series
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Cites work

• scientific article; zbMATH DE number 3565994 (Why is no real title available?)
• scientific article; zbMATH DE number 3274494 (Why is no real title available?)
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Spurious regressions in econometrics
• Time Series Regression with a Unit Root
• Understanding spurious regressions in econometrics

Cited in

(4)

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

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