Spurious multivariate regressions under fractionally integrated processes
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Publication:6587708
DOI10.1080/03610926.2020.1758945MaRDI QIDQ6587708FDOQ6587708
Authors: Daniel Ventosa-Santaulària, J. Eduardo Vera Valdés, Katarzyna Łasak 
Publication date: 14 August 2024
Published in: Communications in Statistics. Theory and Methods (Search for Journal in Brave)
Cites Work
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- Nonsense regressions due to neglected time-varying means
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- True versus spurious long memory: some theoretical results and a Monte Carlo comparison
- A fast fractional difference algorithm
- Spurious regressions with high-order models: a reconsideration
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