Spurious regressions between I(1) processes with long memory errors

DOI10.1111/1467-9892.00054MaRDI QIDQ4351574zbMATH OpenOpenAlexFDO

Authors Nunzio Cappuccio, Diego Lubian

Publication date 8 October 1997

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/1467-9892.00054

zbMATH Keywords

fractional Brownian motionfunctional central limit theoremspurious regressionlong memory processes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

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Cited in

(13)

• Alternative forms of fractional Brownian motion
• SPURIOUS REGRESSIONS BETWEEN I(d) PROCESSES
• Spurious multivariate regressions under fractionally integrated processes
• Instrumental variables estimation of stationary and non‐stationary cointegrating regressions
• Spurious regression
• Spurious regressions in time series with long memory
• Spurious regressions between stationary generalized long memory processes
• Nonsense regressions due to neglected time-varying means
• Local limit theory and spurious nonparametric regression
• SPURIOUS REGRESSION BETWEEN I(1) PROCESSES WITH INFINITE VARIANCE ERRORS
• Long-Memory Errors in Time Series Regressions with a Unit Root
• A simple solution for spurious regressions
• A RESIDUAL-BASED LM-TYPE TEST AGAINST FRACTIONAL COINTEGRATION

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