论文信息 - SPURIOUS REGRESSIONS BETWEEN I(d) PROCESSES

SPURIOUS REGRESSIONS BETWEEN I(d) PROCESSES

type="main" xml:lang="en"> 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.

F. Mármol | Francesc Marmol

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