SPURIOUS REGRESSIONS BETWEEN I(d) PROCESSES

DOI10.1111/J.1467-9892.1995.TB00236.XMaRDI QIDQ4837792zbMATH OpenOpenAlexFDO

Authors F. Marmol

Publication date 30 August 1995

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

Full work available at URL https://doi.org/10.1111/j.1467-9892.1995.tb00236.x

zbMATH Keywords

weak convergencefractional differencingspurious regressionsI(d) processes

Mathematics Subject Classification ID

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

Recommendations

• Spurios regression theory with nonstationary fractionally integrated processes
• SPURIOUS REGRESSION BETWEEN I(1) PROCESSES WITH INFINITE VARIANCE ERRORS
• Logarithmic spurious regressions
• Spurious regressions between I(1) processes with long memory errors
• Spurious regression

Cites work

• scientific article; zbMATH DE number 3274494 (Why is no real title available?)
• A functional central limit theorem for weakly dependent sequences of random variables
• Asymptotic Properties of Residual Based Tests for Cointegration
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Invariance principles for dependent variables
• Understanding spurious regressions in econometrics

Cited in

(19)

• Challenges of trending time series econometrics
• Spurious Regressions with Time-Series Data: Further Asymptotic Results
• Random walks with drifts: Nonsense regression and spurious fixed-effect estimation
• New Tools for Understanding Spurious Regressions
• The spurious regression of AR(\(p\)) infinite-variance sequence in the presence of structural breaks
• Spurious regressions driven by excessive volatility
• Spurious instrumental variables
• Spurious regression
• Spurious correlation of \(I(0)\) regressors in models with an \(I(1)\) dependent variable
• Spurious regressions in time series with long memory
• Spurious regressions between stationary generalized long memory processes
• The spurious regression of fractionally integrated processes
• Spurios regression theory with nonstationary fractionally integrated processes
• Logarithmic spurious regressions
• Spurious regressions with stationary processes around linear trends
• Correlation theory of spuriously related higher order integrated processes
• Changes in persistence, spurious regressions and the Fisher hypothesis
• SPURIOUS REGRESSION BETWEEN I(1) PROCESSES WITH INFINITE VARIANCE ERRORS
• A simple solution for spurious regressions

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