Spurious correlation under fractional integration in output series
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Publication:974192
DOI10.1016/j.econlet.2010.01.014zbMath1203.91231MaRDI QIDQ974192
Publication date: 27 May 2010
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.econlet.2010.01.014
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
91B84: Economic time series analysis
91B82: Statistical methods; economic indices and measures
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Cites Work
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- Spurious regressions in econometrics
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- Stochastic Calculus for Fractional Brownian Motion and Applications
- An Asymptotic | chi 2 Test for the Equality of Two Correlation Matrices