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Spurious correlation under fractional integration in output series

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  • Dalkir, Mehmet

Abstract

This article identifies caveats of using the correlation coefficient between two fractionally integrated time series as a measure of association between them, and compares various procedures for removing the long-range dependence component in the output series of the G7.

Suggested Citation

  • Dalkir, Mehmet, 2010. "Spurious correlation under fractional integration in output series," Economics Letters, Elsevier, vol. 107(2), pages 165-168, May.
    • Handle: RePEc:eee:ecolet:v:107:y:2010:i:2:p:165-168
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    References listed on IDEAS

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    Cited by:

    1. Guglielmo Maria Caporale & Luis Alberiko Gil‐Alana, 2022. "Trends and cycles in macro series: The case of US real GDP," Bulletin of Economic Research, Wiley Blackwell, vol. 74(1), pages 123-134, January.

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