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The spurious regression of fractionally integrated processes

  • Tsay, Wen-Jen
  • Chung, Ching-Fan

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File URL: http://www.sciencedirect.com/science/article/B6VC0-3YJYHHH-7/2/96c0b10b72e17f62c3d421fb73079d1d
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Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 96 (2000)
Issue (Month): 1 (May)
Pages: 155-182

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Handle: RePEc:eee:econom:v:96:y:2000:i:1:p:155-182
Contact details of provider: Web page: http://www.elsevier.com/locate/jeconom

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  1. Granger, C. W. J., 1981. "Some properties of time series data and their use in econometric model specification," Journal of Econometrics, Elsevier, vol. 16(1), pages 121-130, May.
  2. Steven N. Durlauf & Peter C.B. Phillips, 1986. "Trends Versus Random Walks in Time Series Analysis," Cowles Foundation Discussion Papers 788, Cowles Foundation for Research in Economics, Yale University.
  3. Granger, C. W. J. & Newbold, P., 1974. "Spurious regressions in econometrics," Journal of Econometrics, Elsevier, vol. 2(2), pages 111-120, July.
  4. Sowell, Fallaw, 1990. "The Fractional Unit Root Distribution," Econometrica, Econometric Society, vol. 58(2), pages 495-505, March.
  5. Granger, C. W. J., 1980. "Long memory relationships and the aggregation of dynamic models," Journal of Econometrics, Elsevier, vol. 14(2), pages 227-238, October.
  6. Peter C.B. Phillips & Joon Y. Park, 1986. "Statistical Inference in Regressions with Integrated Processes: Part 1," Cowles Foundation Discussion Papers 811R, Cowles Foundation for Research in Economics, Yale University, revised Aug 1987.
  7. Fox, Robert & Taqqu, Murad S., 1987. "Multiple stochastic integrals with dependent integrators," Journal of Multivariate Analysis, Elsevier, vol. 21(1), pages 105-127, February.
  8. Cheung, Yin-Wong & Lai, Kon S, 1993. "A Fractional Cointegration Analysis of Purchasing Power Parity," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(1), pages 103-12, January.
  9. Charles R. Nelson & Heejoon Kang, 1983. "Pitfalls in the use of Time as an Explanatory Variable in Regression," NBER Technical Working Papers 0030, National Bureau of Economic Research, Inc.
  10. Nelson, Charles R & Kang, Heejoon, 1981. "Spurious Periodicity in Inappropriately Detrended Time Series," Econometrica, Econometric Society, vol. 49(3), pages 741-51, May.
  11. Baillie, Richard T., 1996. "Long memory processes and fractional integration in econometrics," Journal of Econometrics, Elsevier, vol. 73(1), pages 5-59, July.
  12. Peter C.B. Phillips, 1985. "Understanding Spurious Regressions in Econometrics," Cowles Foundation Discussion Papers 757, Cowles Foundation for Research in Economics, Yale University.
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