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Computational Statistics and Data Analysis, ISSN 0167-9473, 11/2013, Volume 67, pp. 25 - 40
This paper analyzes a spurious regression involving AR infinite-variance processes in the presence of structural breaks by least squares using asymptotic... 
Infinite-variance sequence | Structural breaks | [formula omitted]-ratios | Spurious regression | Infinite-variance sequence t-ratios | TESTS | SERIES | ERRORS | STATISTICS & PROBABILITY | COMPUTER SCIENCE, INTERDISCIPLINARY APPLICATIONS | FRACTIONALLY INTEGRATED PROCESSES | t-ratios | CONVERGENCE | STATIONARITY | VARIABLES | POINT | Asymptotic properties
Journal Article
Economics Letters, ISSN 0165-1765, 05/2012, Volume 115, Issue 2, pp. 229 - 231
presented evidence that the spurious regression problem can be solved by standard means. We show using finite-sample evidence that the spurious regression... 
Breaks | Long-memory | Random-walk | Autocorrelation | Spurious regression | ECONOMICS
Journal Article
Journal of Probability and Statistics, ISSN 1687-952X, 2009, Volume 2009, pp. 1 - 27
The spurious regression phenomenon in least squares occurs for a wide range of data generating processes, such as driftless unit roots, unit roots with drift,... 
Studies | Economic models | Economic theory | Cointegration analysis | Time series
Journal Article
Journal of Financial Econometrics, ISSN 1479-8409, 12/2013, Volume 12, Issue 1, pp. 122 - 150
Journal Article
Journal of Econometrics, ISSN 0304-4076, 1999, Volume 90, Issue 1, pp. 1 - 44
In the first half of the paper I study spurious regressions in panel data. Asymptotic properties of the least-squares dummy variable (LSDV) estimator and other... 
LSDV | Panel data | ADF | Residual-based tests | Spurious regression | Sequential limit theory | residual-based tests | MATHEMATICS, INTERDISCIPLINARY APPLICATIONS | panel data | UNIT-ROOT | spurious regression | SOCIAL SCIENCES, MATHEMATICAL METHODS | ECONOMICS | sequential limit theory | Sequential analysis | Regression analysis | Research | Least squares
Journal Article
Studies in Nonlinear Dynamics & Econometrics, ISSN 1081-1826, 10/2017, Volume 22, Issue 3
This paper develops a new estimator for cointegrating and spurious regressions by applying a two-stage generalized Cochrane-Orcutt transformation based on an... 
C53 | spurious regression | C22 | autoregressive approximation | generalized Cochrane-Orcutt estimation | cointegration | Generalized Cochrane-Orcutt estimation | Autoregressive approximation | Cointegration | Spurious regression | ECONOMETRICS | COINTEGRATION REGRESSIONS | ORDER | SERIES | SOCIAL SCIENCES, MATHEMATICAL METHODS | ECONOMICS
Journal Article
Economics Letters, ISSN 0165-1765, 01/2018, Volume 162, pp. 18 - 21
We propose a new nonparametric estimator for continuous-time regression models with nonstationary error terms. While other conventional nonparametric... 
Structural spurious regression | Nonstationary error term | High frequency data | Nonparametric regression | Consistency | NONSTATIONARY | ECONOMICS
Journal Article
Statistics and Probability Letters, ISSN 0167-7152, 2011, Volume 81, Issue 12, pp. 2004 - 2010
We present asymptotic and finite-sample arguments to study the spurious regression problem. This problem may be solved by introducing a lurking variable in the... 
Lurking variable | Trending mechanism | Spurious regression | STATISTICS & PROBABILITY | TRENDS | Spurious regression Lurking variable Trending mechanism
Journal Article
Economics Letters, ISSN 0165-1765, 07/2018, Volume 168, pp. 70 - 72
This paper reconsiders spurious regressions with high-order processes by using a balanced regression approach. Results show that if the balanced orders adopted... 
High-order models | Balanced regression | Spurious regression | ECONOMICS | PARTIAL UNIT-ROOT | Analysis | Models | Business schools
Journal Article
Economics Letters, ISSN 0165-1765, 2010, Volume 107, Issue 3, pp. 321 - 323
So-called “spurious regression” relationships are generally accompanied by clear signs of residual autocorrelation. A conscientious researcher would likely... 
Simulations | Random-walk | Autocorrelation | Spurious regression | ECONOMICS | Spurious regression Autocorrelation Random-walk Simulations
Journal Article
Journal of Econometrics, ISSN 0304-4076, 2007, Volume 137, Issue 1, pp. 230 - 259
Journal Article
Economics Letters, ISSN 0165-1765, 2011, Volume 111, Issue 2, pp. 141 - 143
This paper investigates solving the spurious regression problem using an autocorrelation correction. It is shown that if the relevant data generation processes... 
Simulation | Spurious regression | Cochrane–Orcutt | Cochrane-Orcutt | ECONOMICS | MODELS | Spurious regression Cochrane-Orcutt Simulation
Journal Article
Economics Letters, ISSN 0165-1765, 01/2017, Volume 150, pp. 142 - 145
This paper considers spurious regressions with partial unit root and near partial unit root processes. Three models are investigated via simulations to study... 
Partial near unit root | Balanced regression | Spurious regression | ECONOMICS | Analysis | Business schools | Studies | Mathematical models | Regression analysis | Simulation
Journal Article
Communications in Statistics - Simulation and Computation, ISSN 0361-0918, 03/2018, Volume 47, Issue 3, pp. 692 - 711
This article examines the spurious regression phenomenon between long memory series if the generating mechanism of individual series is assumed to follow a... 
Structural breaks | 62J05, 62F03 | t-Ratio | Long memory | Spurious regression | ERRORS | FRACTIONALLY-INTEGRATED-PROCESSES | COINTEGRATION | MODELS | RANDOM-WALKS | TIME-SERIES | STATISTICS & PROBABILITY | TRENDS | Stock exchanges | Regression | Economic models
Journal Article
Xitong Gongcheng Lilun yu Shijian/System Engineering Theory and Practice, ISSN 1000-6788, 05/2018, Volume 38, Issue 5, pp. 1310 - 1320
Journal Article
Communications in Statistics - Theory and Methods, ISSN 0361-0926, 10/2016, Volume 45, Issue 19, pp. 5561 - 5583
Journal Article
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