Trends versus Random Walks in Time Series Analysis

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Cited in

(40)

Trends and random walks in macroeconomic time series
Non-stationary log-periodogram regression
The asymptotics of single-equation cointegration regressions with I(1) and I(2) variables
Sample autocorrelations of nonstationary fractionally integrated series
Testing of unit root and other nonstationary hypotheses in macroeconomic time series
Random walks with drifts: Nonsense regression and spurious fixed-effect estimation
Regression with integrated regressors
The univariate MT-STAR model and a new linearity and unit root test procedure
Trend stationarity versus long-range dependence in time series analysis
New unit root asymptotics in the presence of deterministic trends.
Tests for the order of integration against higher order integration
Bayesian model selection and prediction with empirical applications
Spurious correlation of \(I(0)\) regressors in models with an \(I(1)\) dependent variable
GLS detrending and unit root testing
The spurious regression of fractionally integrated processes
On robust testing for trend
Saddlepoint approximations for short and long memory time series: a frequency domain approach
Trends in distributional characteristics: existence of global warming
Challenges of trending time series econometrics
Estimating deterministic trends with an integrated or stationary noise component
The available information for invariant tests of a unit root
A simple, robust and powerful test of the trend hypothesis
Robust estimation for structural spurious regressions and a Hausman-type cointegration test
Spurious Regression Under Broken-Trend Stationarity
A note on spurious regression in seasonal time series
Nonparametric sequential prediction of time series
THE PROPERTIES OF KULLBACK–LEIBLER DIVERGENCE FOR THE UNIT ROOT HYPOTHESIS
On the power of durbin-watson statistic against fractionally integrated processes
Testing catching-up between the developing countries: ``Growth resistance and sometimes ``growth tragedy
Estimating autocorrelations in the presence of deterministic trends
Spurious regression between long memory series due to mis-specified structural breaks
Fractional integration and data frequency
The failure of orthogonality under nonstationarity: should we care about it?
A Weak law of large numbers for a class of nonstationary but stabiuzing vector arma processes with one unit root
A CONVERGENT t-STATISTIC IN SPURIOUS REGRESSIONS
The role of information in nonstationary regression
Spurious regression
Spurious multivariate regressions under fractionally integrated processes
On the relationship between stochastic and deterministic polynomial trends with applications to the detection of the order of integration
Unit root testing

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