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Correlation theory of spuriously related higher order integrated processes

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  • Marmol, Francesc

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  • Marmol, Francesc, 1996. "Correlation theory of spuriously related higher order integrated processes," Economics Letters, Elsevier, vol. 50(2), pages 169-173, February.
    • Handle: RePEc:eee:ecolet:v:50:y:1996:i:2:p:169-173
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    1. Gourieroux Christian & Akonom, J., 1988. "Functional limit theorem for fractional processes (a)," CEPREMAP Working Papers (Couverture Orange) 8801, CEPREMAP.
    2. Tanaka, Katsuto, 1990. "The Fredholm Approach to Asymptotic Inference on Nonstationary and Noninvertible Time Series Models," Econometric Theory, Cambridge University Press, vol. 6(4), pages 411-432, December.
    3. Phillips, P.C.B., 1986. "Understanding spurious regressions in econometrics," Journal of Econometrics, Elsevier, vol. 33(3), pages 311-340, December.
    4. Park, Joon Y. & Phillips, Peter C.B., 1988. "Statistical Inference in Regressions with Integrated Processes: Part 1," Econometric Theory, Cambridge University Press, vol. 4(3), pages 468-497, December.
    5. Tanaka, Katsuto, 1993. "An Alternative Approach to the Asymptotic Theory of Spurious Regression, Cointegration, and Near Cointegration," Econometric Theory, Cambridge University Press, vol. 9(1), pages 36-61, January.
    6. Banerjee, Anindya & Dolado, Juan J. & Galbraith, John W. & Hendry, David, 1993. "Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data," OUP Catalogue, Oxford University Press, number 9780198288107.
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    Cited by:

    1. Antonio E. Noriega & Daniel Ventosa‐Santaulària, 2006. "Spurious Regression Under Broken‐Trend Stationarity," Journal of Time Series Analysis, Wiley Blackwell, vol. 27(5), pages 671-684, September.
    2. Antonio E. Noriega & Daniel Ventosa-Santaularia, 2005. "Spurious regression under deterministic and stochastic trends," Department of Economics and Finance Working Papers EM200503, Universidad de Guanajuato, Department of Economics and Finance.

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