Spurious correlation under fractional integration in output series

DOI10.1016/J.ECONLET.2010.01.014MaRDI QIDQ974192zbMATH OpenOpenAlexFDO

Authors Mehmet Dalkır

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

zbMATH Keywords

fractional integrationoutput correlationsstochastic systems

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; economic indices and measures (91B82) Economic time series analysis (91B84)

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Cites work

• An Asymptotic | chi 2 Test for the Equality of Two Correlation Matrices
• scientific article; zbMATH DE number 1715060 (Why is no real title available?)
• scientific article; zbMATH DE number 1944323 (Why is no real title available?)
• scientific article; zbMATH DE number 3271181 (Why is no real title available?)
• SAMPLE MEANS, SAMPLE AUTOCOVARIANCES, AND LINEAR REGRESSION OF STATIONARY MULTIVARIATE LONG MEMORY PROCESSES
• Spurious regressions in econometrics
• Stochastic Calculus for Fractional Brownian Motion and Applications
• The spurious regression of fractionally integrated processes
• Understanding spurious regressions in econometrics
• Using Difference-Based Methods for Inference in Regression with Fractionally Integrated Processes

Cited in

(4)

• The spurious regression of fractionally integrated processes
• Existence and uniqueness of solutions for a fractional order antiperiodic boundary value problem with a \(p\)-Laplacian operator
• SCALING LAWS IN THE MACROECONOMY
• A new correlation for bivariate time series with a higher order of integration

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