Spurious Regressions of Stable AR(p) Processes with Structural Breaks
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Bibliographic InfoPaper provided by Warwick Business School, Finance Group in its series Working Papers with number wp09-04.
Date of creation: 2009
Date of revision:
This paper has been announced in the following NEP Reports:
- NEP-ALL-2010-02-05 (All new papers)
- NEP-ECM-2010-02-05 (Econometrics)
- NEP-ETS-2010-02-05 (Econometric Time Series)
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- Peter C. B. Phillips, 1998. "New Tools for Understanding Spurious Regressions," Econometrica, Econometric Society, vol. 66(6), pages 1299-1326, November.
- Tsay, Wen-Jen, 1999. "Spurious Regression Between I(1) Processes With Infinite Variance Errors," Econometric Theory, Cambridge University Press, vol. 15(04), pages 622-628, August.
- Granger, Clive W.J. & Hyung, Namwon & Jeon, Yongil, 1998.
"Spurious Regressions with Stationary Series,"
University of California at San Diego, Economics Working Paper Series
qt7r3353t8, Department of Economics, UC San Diego.
- Granger, C. W. J. & Newbold, P., 1974. "Spurious regressions in econometrics," Journal of Econometrics, Elsevier, vol. 2(2), pages 111-120, July.
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