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Trends versus Random Walks in Time Series Analysis

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References

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Cited by

1990Predicting Stock Returns in an Efficient Market327 cited
1999Non-stationary log-periodogram regression271 cited
2003Spurious Regressions in Econometrics255 cited
1994Chapter 46 Unit roots, structural breaks and trends243 cited
2000Long Memory in Stock-Market Trading Volume215 cited
1998New Tools for Understanding Spurious Regressions178 cited
1991On Bayesian routes to unit roots169 cited
1997Random walks with drifts: Nonsense regression and spurious fixed-effect estimation168 cited

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1989Econometric Analysis of Aggregation in the Context of Linear Prediction Models153 cited

2008Trend Time–Series Modeling and Forecasting With Neural Networks149 cited

1992COINTEGRATION AND DYNAMIC TIME SERIES MODELS145 cited

1989A Survey of Some Recent Econometric Methods144 cited

2009Estimating deterministic trends with an integrated or stationary noise component143 cited

2000(Fractional) beta convergence141 cited

1987Does GNP have a unit root?134 cited

2000The spurious regression of fractionally integrated processes134 cited