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ArticleThe spurious regression of fractionally integrated processes

Wen‐Jen Tsay2000

Article2000

The spurious regression of fractionally integrated processes

Wen‐Jen Tsay · Ching‐Fan Chung

134 citations·0/0 files stored·Journal of Econometrics

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Complex Systems and Time Series Analysis Monetary Policy and Economic Impact Spatial and Panel Data Analysis

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References

1968Fractional Brownian Motions, Fractional Noises and Applications 1982Trends and random walks in macroeconmic time series 1980AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING 1981Fractional Differencing 1988Trends and random walks in macroeconomic time series 1981Some properties of time series data and their use in econometric model specification 1996Long memory processes and fractional integration in econometrics 1986Understanding spurious regressions in econometrics

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2016Error Correction Methods with Political Time Series 2014An Effective Approach to the Repeated Cross‐Sectional Design 2006Demography and housing demand—what can we learn from residential construction data?2010The Unconventional Dynamics of Economic and Financial Aggregates 2008Asset Pricing Models with Conditional Betas and Alphas: The Effects of Data Snooping and Spurious Regression 2006Dynamics of Intra-EMS Interest Rate Linkages

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2009Fractional Integration and Cointegration: An Overview and an Empirical Applicationchapter · 9 shared references 2004Modelling structural breaks, long memory and stock market volatility: an overviewarticle · 8 shared references 1996Time-Series-Based Econometricsbook · 8 shared references 2009Spurious Regressionarticle · 8 shared references 1994Chapter 46 Unit roots, structural breaks and trendschapter · 7 shared references 1989A Survey of Some Recent Econometric Methodsarticle · 7 shared references

Details

Year2000

Typearticle

Published2000-05-01

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations134

Files0 public / 0

ShelfComplex Systems and Time Series Analysis

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doi10.1016/s0304-4076(99)00056-1

openalex_workW1990845510

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2006Spurious Regression Under Broken‐Trend Stationarity

2009Dual Long-Memory, Structural Breaks and the Link Between Turnover and the Range-Based Volatility