Spurious regressions between I(1) processes with long memory errors

DOI10.1111/1467-9892.00054zbMath0904.62099OpenAlexW2088126577MaRDI QIDQ4351574

Nunzio Cappuccio, Diego Lubian

Publication date: 8 October 1997

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9892.00054

zbMATH Keywords

functional central limit theoremfractional Brownian motionlong memory processesspurious regression

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Related Items (7)

Spurious regression ⋮ Nonsense regressions due to neglected time-varying means ⋮ A simple solution for spurious regressions ⋮ Instrumental variables estimation of stationary and non‐stationary cointegrating regressions ⋮ Alternative forms of fractional Brownian motion ⋮ Spurious Regressions in Time Series with Long Memory ⋮ A RESIDUAL-BASED LM-TYPE TEST AGAINST FRACTIONAL COINTEGRATION

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