SPURIOUS REGRESSION BETWEEN I(1) PROCESSES WITH INFINITE VARIANCE ERRORS

DOI10.1017/S0266466699154069MaRDI QIDQ4512740zbMATH OpenFDO

Authors Wen-Jen Tsay

Publication date 18 February 2001

Published in Econometric Theory (Search for Journal in Brave)

zbMATH Keywords

long memoryintegrated processesstable errorst-ratios

Mathematics Subject Classification ID

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

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(12)

• Random walks with drifts: Nonsense regression and spurious fixed-effect estimation
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• Spurious regressions driven by excessive volatility
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• Logarithmic spurious regressions
• Spurious Regressions with Time-Series Data: Further Asymptotic Results
• Unit root tests and dramatic shifts with infinite variance processes
• The spurious regression of AR(\(p\)) infinite-variance sequence in the presence of structural breaks
• A CONVERGENT t-STATISTIC IN SPURIOUS REGRESSIONS
• SPURIOUS REGRESSIONS BETWEEN I(d) PROCESSES
• Useful conclusions from surprising results
• Spurious regression between long memory series due to mis-specified structural breaks

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