Spurious regressions in time series with long memory

DOI10.1080/03610926.2012.753088MaRDI QIDQ5259097zbMATH OpenOpenAlexFDO

Authors Gaowen Wang, Nan-Wei Han

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

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)

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Cites work

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• Spurious regressions in econometrics
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• Stochastic-Process Limits
• The Invariance Principle for Stationary Processes
• The spurious regression of fractionally integrated processes
• Time Series Regression with a Unit Root
• Understanding spurious regressions in econometrics

Cited in

(10)

• Trend stationarity versus long-range dependence in time series analysis
• Spurious Regressions with Time-Series Data: Further Asymptotic Results
• scientific article; zbMATH DE number 5694254 (Why is no real title available?)
• Spurious correlation under fractional integration in output series
• Understanding spurious regressions in econometrics
• Spurious periodic autoregressions
• 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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