Spurious regressions in time series with long memory

DOI10.1080/03610926.2012.753088zbMATH Open1325.62174OpenAlexW2085115733MaRDI QIDQ5259097FDOQ5259097

Nan-Wei Han, Gaowen Wang

Publication date: 24 June 2015

Published in: Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2012.753088

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zbMATH Keywords

long memoryself-normalized sumsspurious regressionlinear process

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) General nonlinear regression (62J02) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84) Brownian motion (60J65)

Cites Work

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• The spurious regression of fractionally integrated processes
• SPURIOUS REGRESSIONS BETWEEN I(d) PROCESSES
• Spurios regression theory with nonstationary fractionally integrated processes
• Spurious regressions with stationary processes around linear trends
• Spurious regressions between I(1) processes with long memory errors
• Convergence rates in the central limit theorem for means of autoregressive and moving average sequences
• A note on unit root tests with heavy-tailed GARCH errors

Cited In (9)

• Trend stationarity versus long-range dependence in time series analysis
• Spurious Regressions with Time-Series Data: Further Asymptotic Results
• Title not available (Why is that?)
• Spurious periodic autoregressions
• Understanding spurious regressions in econometrics
• Spurious regressions and residual-based tests for cointegration when regressors are cointegrated
• Spurious regressions between stationary generalized long memory processes
• SPURIOUS REGRESSION BETWEEN I(1) PROCESSES WITH INFINITE VARIANCE ERRORS
• Long-Memory Errors in Time Series Regressions with a Unit Root

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