Advanced Search
MyIDEAS: Login to save this paper or follow this series

Spurious Regressions with Stationary Gegenbauer Processes and Harmonic Processes

Contents:

Author Info

  • Sun, Yixiao

Abstract

This paper studies the spurious regressions among stationary Gegenbauer processes, stationary harmonic processes and deterministic trigonometric series. We find the spurious regression can occur between two stationary Gegenbauer processes, as long as their generalized fractional differencing parameters sum up to a value greater than 0.5 and their spectral densities have poles at the same location. The spurious regression may also be present between a stationary Gegenbauer process and a stationary harmonic process, or between a stationary Gegenbauer process and a deterministic trigonometric series, as long as the poles of the discreet Fourier transforms or the spectral densities of underlying processes are located at the same frequency. Our findings suggest that it is the strong persistence and cyclical comovement that cause the spurious effect. Our theoretical results are supported by simulations.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. 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://www.escholarship.org/uc/item/1g23v6p5.pdf;origin=repeccitec
Download Restriction: no

Bibliographic Info

Paper provided by Department of Economics, UC San Diego in its series University of California at San Diego, Economics Working Paper Series with number qt1g23v6p5.

as in new window
Length:
Date of creation: 01 Jan 2003
Date of revision:
Handle: RePEc:cdl:ucsdec:qt1g23v6p5

Contact details of provider:
Postal: 9500 Gilman Drive, La Jolla, CA 92093-0508
Phone: (858) 534-3383
Fax: (858) 534-7040
Web page: http://www.escholarship.org/repec/ucsdecon/
More information through EDIRC

Related research

Keywords: cyclical comovement; harmonic process; Gegenbauer process; spurious regression; trigonometric series;

References

No references listed on IDEAS
You can help add them by filling out this form.

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Sun, Yixiao, 2006. "Spurious regressions between stationary generalized long memory processes," Economics Letters, Elsevier, vol. 90(3), pages 446-454, March.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:cdl:ucsdec:qt1g23v6p5. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Lisa Schiff).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.