Spurious regression between long memory series due to mis-specified structural breaks

DOI10.1080/03610918.2017.1288248MaRDI QIDQ5084732zbMATH OpenOpenAlexFDO

Authors Hao Jin, Si Zhang

Publication date 28 June 2022

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610918.2017.1288248

zbMATH Keywords

\(t\)-ratiolong memoryspurious regressionstructural breaks

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Linear regression; mixed models (62J05)

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Cited in

(2)

• Spurious regressions between stationary generalized long memory processes
• Spurious periodic autoregressions

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