Spurious multivariate regressions under fractionally integrated processes
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Cites work
- A fast fractional difference algorithm
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- Fractional differencing
- scientific article; zbMATH DE number 1735137 (Why is no real title available?)
- Long memory processes and fractional integration in econometrics
- Long memory, fractional integration, and cross-sectional aggregation
- Nonsense regressions due to neglected time-varying means
- Sample autocorrelations of nonstationary fractionally integrated series
- Spurios regression theory with nonstationary fractionally integrated processes
- Spurious forecasts?
- Spurious regression
- Spurious regressions between I(1) processes with long memory errors
- Spurious regressions in econometrics
- Spurious regressions when stationary regressors are included
- Spurious regressions with high-order models: a reconsideration
- The spurious regression of fractionally integrated processes
- Trends versus Random Walks in Time Series Analysis
- True versus spurious long memory: some theoretical results and a Monte Carlo comparison
- Understanding spurious regressions in econometrics
- Weak convergence of multivariate fractional processes
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