Partial unit root and linear spurious regression: A Monte Carlo simulation study
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Tu, Yundong, 2017. "On spurious regressions with partial unit root processes," Economics Letters, Elsevier, vol. 150(C), pages 142-145.
More about this item
KeywordsPartial unit root; Spurious regression; Monte Carlo simulation;
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
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