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Spurious correlation of I(0) regressors in models with an I(1) dependent variable
14 references·0 citing·43 second hop
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this work references cited by second hop

References

  • 1993A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems5,042 cited
  • 1986Understanding spurious regressions in econometrics1,782 cited
  • 1988Trends versus Random Walks in Time Series Analysis264 cited
  • 1983Pitfalls in the use of Time as an Explanatory Variable in Regression204 cited
  • 1997Random walks with drifts: Nonsense regression and spurious fixed-effect estimation168 cited
  • 2001Spurious regressions with stationary series148 cited
  • 2000The spurious regression of fractionally integrated processes134 cited
  • 1994The asymptotics of single-equation cointegration regressions with I(1) and I(2) variables132 cited
  • 1998Spurious regression theory with nonstationary fractionally integrated processes68 cited
  • 1995SPURIOUS REGRESSIONS BETWEEN I(d) PROCESSES44 cited
  • 2004Spurious regressions with stationary processes around linear trends43 cited
  • 1996NONSENSE REGRESSIONS BETWEEN INTEGRATED PROCESSES OF DIFFERENT ORDERS37 cited
  • 2010Regional Asymmetries in the Impact of Monetary Policy Shocks on Prices: Evidence from US Cities*25 cited
  • 1996Spurious regressions when stationary regressors are included22 cited

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