A Note on Wavelet Correlation and Cointegration
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References listed on IDEAS
- Chee Kian Leong & Weihong Huang, 2010. "Testing for spurious and cointegrated regressions: A wavelet approach," Journal of Applied Statistics, Taylor & Francis Journals, vol. 37(2), pages 215-233.
- Phillips, P.C.B., 1986.
"Understanding spurious regressions in econometrics,"
Journal of Econometrics,
Elsevier, vol. 33(3), pages 311-340, December.
- Peter C.B. Phillips, 1985. "Understanding Spurious Regressions in Econometrics," Cowles Foundation Discussion Papers 757, Cowles Foundation for Research in Economics, Yale University.
- Søren Johansen, 2012. "The Analysis of Nonstationary Time Series Using Regression, Correlation and Cointegration," Contemporary Economics, University of Finance and Management in Warsaw, vol. 6(2), June.
More about this item
Keywordseconometric methods; integrated process; spectral analysis; time series models; unit roots; wavelet analysis.;
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2013-11-16 (All new papers)
- NEP-ECM-2013-11-16 (Econometrics)
- NEP-ETS-2013-11-16 (Econometric Time Series)
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