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

DOI10.1017/S0266466699154069zbMATH Open0954.62108MaRDI QIDQ4512740FDOQ4512740

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)

Cited In (7)

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

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