IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Log in (now much improved!) to save this paper

How spurious features arise in case of fractional cointegration

Listed author(s):
  • Mármol, Francesc

It is well-known that a linear regression among the levels of independent highly persistent processes yields high values of the corresponding coefficient of determination along with divergent I-ratios and low values of the Durbin-Watson statistic. In fact, such a behaviour of the customary OLS statistics has become a sort of definition of the so-called spurious regressions in econometrics. In this paper, however, we show how these spurious stylized facts also arise among nonstationary (fractionally) cointegrated processes.

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://e-archivo.uc3m.es/bitstream/handle/10016/6349/ws996522.PDF?sequence=1
Download Restriction: no

Paper provided by Universidad Carlos III de Madrid. Departamento de Estadística in its series DES - Working Papers. Statistics and Econometrics. WS with number 6349.

as
in new window

Length:
Date of creation: Sep 1999
Handle: RePEc:cte:wsrepe:6349
Contact details of provider: Web page: http://portal.uc3m.es/portal/page/portal/dpto_estadistica

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

as
in new window


  1. Marmol, Francesc, 1996. "Nonsense Regressions between Integrated Processes of Different Orders," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 58(3), pages 525-536, August.
  2. D Marinucci & Peter M. Robinson, 1998. "Semiparametric frequency domain analysis of fractional cointegration," LSE Research Online Documents on Economics 2258, London School of Economics and Political Science, LSE Library.
  3. P. C. B. Phillips & S. N. Durlauf, 1986. "Multiple Time Series Regression with Integrated Processes," Review of Economic Studies, Oxford University Press, vol. 53(4), pages 473-495.
  4. Clive Granger & Namwon Hyung & Yongil Jeon, 2001. "Spurious regressions with stationary series," Applied Economics, Taylor & Francis Journals, vol. 33(7), pages 899-904.
  5. Banerjee, Anindya, et al, 1986. "Exploring Equilibrium Relationships in Econometrics through Static Models: Some Monte Carlo Evidence," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 48(3), pages 253-277, August.
  6. Phillips, P.C.B., 1986. "Understanding spurious regressions in econometrics," Journal of Econometrics, Elsevier, vol. 33(3), pages 311-340, December.
  7. Granger, Clive W. J. & Swanson, Norman R., 1997. "An introduction to stochastic unit-root processes," Journal of Econometrics, Elsevier, vol. 80(1), pages 35-62, September.
  8. 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.
  9. Granger, C. W. J. & Newbold, P., 1974. "Spurious regressions in econometrics," Journal of Econometrics, Elsevier, vol. 2(2), pages 111-120, July.
  10. Haldrup, Niels, 1994. "The asymptotics of single-equation cointegration regressions with I(1) and I(2) variables," Journal of Econometrics, Elsevier, vol. 63(1), pages 153-181, July.
  11. Francesc Marmol, 1995. "SPURIOUS REGRESSIONS BETWEEN I(d) PROCESSES," Journal of Time Series Analysis, Wiley Blackwell, vol. 16(3), pages 313-321, 05.
  12. Hassler, Uwe, 1996. "Spurious regressions when stationary regressors are included," Economics Letters, Elsevier, vol. 50(1), pages 25-31, January.
  13. Marmol, Francesc, 1998. "Spurious regression theory with nonstationary fractionally integrated processes," Journal of Econometrics, Elsevier, vol. 84(2), pages 233-250, June.
  14. Granger, C. W. J. & Newbold, Paul, 1986. "Forecasting Economic Time Series," Elsevier Monographs, Elsevier, edition 2, number 9780122951831 edited by Shell, Karl.
  15. Mármol, Francesc & Dolado, Juan José, 1998. "FM-OLS estimation of cointegrating relationships among nonstationary fractionally integrated processes," DES - Working Papers. Statistics and Econometrics. WS 4672, Universidad Carlos III de Madrid. Departamento de Estadística.
Full references (including those not matched with items on IDEAS)

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

When requesting a correction, please mention this item's handle: RePEc:cte:wsrepe:6349. 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: (Ana Poveda)

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.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.