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Spurious regressions between stationary generalized long memory processes

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  • Sun, Yixiao

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  • Sun, Yixiao, 2006. "Spurious regressions between stationary generalized long memory processes," Economics Letters, Elsevier, vol. 90(3), pages 446-454, March.
  • Handle: RePEc:eee:ecolet:v:90:y:2006:i:3:p:446-454
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    References listed on IDEAS

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    1. Sun, Yixiao, 2004. "A CONVERGENT t-STATISTIC IN SPURIOUS REGRESSIONS," Econometric Theory, Cambridge University Press, vol. 20(05), pages 943-962, October.
    2. Marmol, Francesc, 1998. "Spurious regression theory with nonstationary fractionally integrated processes," Journal of Econometrics, Elsevier, vol. 84(2), pages 233-250, June.
    3. Chung, Ching-Fan, 1996. "Estimating a generalized long memory process," Journal of Econometrics, Elsevier, vol. 73(1), pages 237-259, July.
    4. Phillips, P.C.B., 1986. "Understanding spurious regressions in econometrics," Journal of Econometrics, Elsevier, vol. 33(3), pages 311-340, December.
    5. Sun, Yixiao, 2003. "Spurious Regressions with Stationary Gegenbauer Processes and Harmonic Processes," University of California at San Diego, Economics Working Paper Series qt1g23v6p5, Department of Economics, UC San Diego.
    6. Tsay, Wen-Jen & Chung, Ching-Fan, 2000. "The spurious regression of fractionally integrated processes," Journal of Econometrics, Elsevier, vol. 96(1), pages 155-182, May.
    7. Granger, C. W. J. & Newbold, P., 1974. "Spurious regressions in econometrics," Journal of Econometrics, Elsevier, vol. 2(2), pages 111-120, July.
    8. Lucas, Robert E., 1977. "Understanding business cycles," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 5(1), pages 7-29, January.
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    Cited by:

    1. McHale, I.G. & Peel, D.A., 2010. "Habit and long memory in UK lottery sales," Economics Letters, Elsevier, vol. 109(1), pages 7-10, October.
    2. Kim, Chang Sik & Lee, Sungro, 2011. "Spurious regressions driven by excessive volatility," Economics Letters, Elsevier, vol. 113(3), pages 292-297.
    3. Chris Stewart, 2011. "A note on spurious significance in regressions involving I(0) and I(1) variables," Empirical Economics, Springer, vol. 41(3), pages 565-571, December.
    4. Nautz, Dieter & Scheithauer, Jan, 2011. "Monetary policy implementation and overnight rate persistence," Journal of International Money and Finance, Elsevier, vol. 30(7), pages 1375-1386.
    5. Ventosa-Santaulària, Daniel, 2008. "Spurious Regression," MPRA Paper 59008, University Library of Munich, Germany.

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