Spurious regression between long memory series due to mis-specified structural breaks

DOI10.1080/03610918.2017.1288248OpenAlexW2584368752MaRDI QIDQ5084732FDOQ5084732

Authors: Hao Jin, Si Zhang 

Publication date: 28 June 2022

Published in: Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2017.1288248

zbMATH Keywords

structural breakslong memoryspurious regression\(t\)-ratio

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Linear regression; mixed models (62J05)

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Cited In (2)

• Spurious periodic autoregressions
• Spurious regressions between stationary generalized long memory processes

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