This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Spurious Regression Between I(1) Processes With Infinite Variance Errors

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Tsay, Wen-Jen

Additional information is available for the following registered author(s):

Abstract

This paper considers spurious regression between integrated processes with stable errors. Our results show that the t-ratios diverge at the rate of T, which is identical to what Phillips (1986, Journal of Econometrics 33, 311 340) has obtained for the Gaussian case. Therefore, it is the long memory in the dependent variable and regressors, instead of the moment conditions of the error terms, that causes the spurious regression.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://journals.cambridge.org/abstract_S0266466699154069
File Format: text/html
File Function: link to article abstract page
Download Restriction: no

Publisher Info
Article provided by Cambridge University Press in its journal Econometric Theory.

Volume (Year): 15 (1999)
Issue (Month): 04 (August)
Pages: 622-628
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:cup:etheor:v:15:y:1999:i:04:p:622-628_15

Contact details of provider:
Postal: The Edinburgh Building, Shaftesbury Road, Cambridge CB2 2RU UK
Fax: +44 (0)1223 325150
Email:
Web page: http://journals.cambridge.org/jid_ECT

For technical questions regarding this item, or to correct its listing, contact: (Mike Eden).

Related research
Keywords:

Statistics
Access and download statistics

Did you know? There are over 21000 authors registered on RePEc Author Service.

This page was last updated on 2009-12-20.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.