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Spurious regression theory with nonstationary fractionally integrated processes
10 references·14 citing·31 second hop
Spurious regression theory with nonstationary fractionally integrated processes (1998)Spurious regression theory with nonstatio…Long memory processes and fractional integration in econometrics (1996)Long memory processes and fra…The asymptotics of single-equation cointegration regressions with I(1) and I(2) variables (1994)The asymptotics of single-equ…A Fractional Cointegration Analysis of Purchasing Power Parity (1993)A Fractional Cointegration An…The mathematical structure of error correction models (1988)The mathematical structure of…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…Understanding spurious regressions in econometrics (1986)Understanding spurious regres…Fractional Differencing (1981)Fractional DifferencingLong memory relationships and the aggregation of dynamic models (1980)Long memory relationships and…AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING (1980)AN INTRODUCTION TO LONG‐MEMOR…The Typical Spectral Shape of an Economic Variable (1966)The Typical Spectral Shape of…A note on spurious significance in regressions involving I(0) and I(1) variables (2010)A note on spurious significan…Spurious Regression (2009)Spurious RegressionAsset Pricing Models with Conditional Betas and Alphas: The Effects of Data Snooping and Spurious Regression (2008)Asset Pricing Models with Con…Spurious Regression and Trending Variables* (2007)Spurious Regression and Trend…Spurious Regression Under Broken‐Trend Stationarity (2006)Spurious Regression Under Bro…Spurious correlation of I(0) regressors in models with an I(1) dependent variable (2006)Spurious correlation of I(0) …A RESIDUAL-BASED LM-TYPE TEST AGAINST FRACTIONAL COINTEGRATION (2006)A RESIDUAL-BASED LM-TYPE TEST…Spurious nonlinear regressions in econometrics (2005)Spurious nonlinear regression…Challenges of trending time series econometrics (2005)Challenges of trending time s…Consistent Testing of Cointegrating Relationships (2004)Consistent Testing of Cointeg…Spurious Regressions with Processes Around Linear Trends or Drifts (2003)Spurious Regressions with Pro…Spurious Regressions in Financial Economics? (2002)Spurious Regressions in Finan…Spurious Regressions in Financial Economics? (2000)Spurious Regressions in Finan…NONSENSE REGRESSIONS BETWEEN INTEGRATED PROCESSES OF DIFFERENT ORDERS (1996)NONSENSE REGRESSIONS BETWEEN …MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Log-Periodogram Regression of Time Series with Long Range Dependence (1995)Modeling and pricing long memory in stock market volatility (1996)Fractional Brownian Motions, Fractional Noises and Applications (1968)Some properties of time series data and their use in econometric model specification (1981)THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS (1983)A long memory property of stock market returns and a new model (1993)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Statistical analysis of cointegration vectors (1988)Time-Series-Based Econometrics (1996)Trend stationarity in the I(2) cointegration model (1999)Modelling the hidden economy and the tax-gap in New Zealand (2000)Time Series Analysis, Forecasting and Control. (1971)Time Series Analysis: Forecasting and Control (1977)Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data (1993)Forecasting Economic Time Series (2000)Tourism as a long-run economic growth factor: the Spanish case (2002)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Long memory and regime switching (2001)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Bounds testing approaches to the analysis of level relationships (2001)A Simple Approximate Long-Memory Model of Realized Volatility (2008)A Common Trends Model : Identification, Estimation and Inference (1993)Price discovery in floor and screen trading systems (2002)Financial Integration for India Stock Market, a Fractional Cointegration Approach (2005)Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)
this work references cited by second hop

References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 1980AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING3,376 cited
  • 1981Fractional Differencing2,720 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
  • 1966The Typical Spectral Shape of an Economic Variable663 cited
  • 1993A Fractional Cointegration Analysis of Purchasing Power Parity505 cited
  • 1994The asymptotics of single-equation cointegration regressions with I(1) and I(2) variables132 cited
  • 1988The mathematical structure of error correction models99 cited

Cited by

  • 2000Spurious Regressions in Financial Economics?64 cited
  • 2005Challenges of trending time series econometrics59 cited
  • 2007Spurious Regression and Trending Variables*52 cited
  • 2008Asset Pricing Models with Conditional Betas and Alphas: The Effects of Data Snooping and Spurious Regression51 cited
  • 2004Consistent Testing of Cointegrating Relationships

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50 cited
  • 2002Spurious Regressions in Financial Economics?45 cited
  • 2009Spurious Regression38 cited
  • 1996NONSENSE REGRESSIONS BETWEEN INTEGRATED PROCESSES OF DIFFERENT ORDERS37 cited
  • 2006Spurious Regression Under Broken‐Trend Stationarity30 cited
  • 2005Spurious nonlinear regressions in econometrics25 cited
  • 2006A RESIDUAL-BASED LM-TYPE TEST AGAINST FRACTIONAL COINTEGRATION24 cited
  • 2010A note on spurious significance in regressions involving I(0) and I(1) variables23 cited
  • 2003Spurious Regressions with Processes Around Linear Trends or Drifts14 cited
  • 2006Spurious correlation of I(0) regressors in models with an I(1) dependent variable13 cited