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The spurious regression of fractionally integrated processes

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References

1968Fractional Brownian Motions, Fractional Noises and Applications7,658 cited
1982Trends and random walks in macroeconmic time series4,670 cited
1980AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING3,376 cited
1981Fractional Differencing2,720 cited
1988Trends and random walks in macroeconomic time series2,433 cited
1981Some properties of time series data and their use in econometric model specification2,406 cited
1996Long memory processes and fractional integration in econometrics1,879 cited
1986Understanding spurious regressions in econometrics1,782 cited
1980Long memory relationships and the aggregation of dynamic models1,448 cited
1988Statistical Inference in Regressions with Integrated Processes: Part 1749 cited
2010Spurious Regression in Econometrics705 cited
1993A Fractional Cointegration Analysis of Purchasing Power Parity505 cited
2008Long Memory Relationships and the Aggregation of Dynamic Models357 cited
1988Trends versus Random Walks in Time Series Analysis264 cited
1990The Fractional Unit Root Distribution235 cited

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1983

Pitfalls in the use of Time as an Explanatory Variable in Regression

204 cited

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