Fractionally Integrated Long Horizon Regressions

DOI10.2202/1558-3708.1337zbMATH Open1260.91184OpenAlexW2003212467MaRDI QIDQ5452768FDOQ5452768

Authors: Jin Lee 

Publication date: 4 April 2008

Published in: Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2202/1558-3708.1337

Recommendations

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• The spurious regression of fractionally integrated processes

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Cited In (3)

• SAMPLE MEANS, SAMPLE AUTOCOVARIANCES, AND LINEAR REGRESSION OF STATIONARY MULTIVARIATE LONG MEMORY PROCESSES
• Adjusting for bias in long horizon regressions using R
• Spurious regression

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