SPURIOUS REGRESSIONS BETWEEN I(d) PROCESSES

Francesc Mármol

44 citations0/0 files storedJournal of Time Series Analysis

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Monetary Policy and Economic Impact Complex Systems and Time Series Analysis Diverse Scientific and Economic Studies

Abstract

Abstract. This paper develops an analytical study for the nonsense or spurious regressions that are generated by quite general integrated (of order d) random processes. In doing this, we generalize the work of Phillips (Understanding spurious regressions in econometrics. J. Econ. 33 (1986), 311–40) who provided an analytical study of linear regressions involving only I(1) stochastic processes. Our generalization of Phillips' work to the I(d) case is made employing fractional differencing techniques.

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References

1987Co-Integration and Error Correction: Representation, Estimation, and Testing 1990Asymptotic Properties of Residual Based Tests for Cointegration 1986Understanding spurious regressions in econometrics

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2000The spurious regression of fractionally integrated processes 2009Spurious Regression 1996NONSENSE REGRESSIONS BETWEEN INTEGRATED PROCESSES OF DIFFERENT ORDERS 2006Spurious Regression Under Broken‐Trend Stationarity 1996Efficient Estimation of Cointegrating Relationships Among Higher Order and Fractionally Integrated Processes 2010A note on spurious significance in regressions involving I(0) and I(1) variables 2006Spurious correlation of I(0) regressors in models with an I(1) dependent variable

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