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Spurious Regressions with Processes Around Linear Trends or Drifts · Study

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PreprintSpurious Regressions with Processes Around Linear Trends or Drifts

Tae‐Hwan Kim2003

OA

Preprintgreen2003

Spurious Regressions with Processes Around Linear Trends or Drifts

Tae‐Hwan Kim · Paul Newbold

14 citations·0/0 files stored·SSRN Electronic Journal

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Monetary Policy and Economic Impact Complex Systems and Time Series Analysis Diverse Scientific and Economic Studies

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References

1986Understanding spurious regressions in econometrics 1997Random walks with drifts: Nonsense regression and spurious fixed-effect estimation 2001Spurious regressions with stationary series 2000The spurious regression of fractionally integrated processes 1998Spurious regression theory with nonstationary fractionally integrated processes 1996Spurious regressions when stationary regressors are included

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2006Spurious correlation of I(0) regressors in models with an I(1) dependent variablearticle · 6 shared references 2008Asset Pricing Models with Conditional Betas and Alphas: The Effects of Data Snooping and Spurious Regressionarticle · 4 shared references 2006Spurious Regression Under Broken‐Trend Stationarityarticle · 4 shared references 2010A note on spurious significance in regressions involving I(0) and I(1) variablesarticle · 4 shared references 2007Spurious Regression and Trending Variables*article · 3 shared references 2004Consistent Testing of Cointegrating Relationshipsarticle · 3 shared references

Details

Year2003

Typepreprint

Published2003-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations14

Files0 public / 0

ShelfMonetary Policy and Economic Impact

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doi10.2139/ssrn.422500

openalex_workW1830496751

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