Spurius regression theory with nonstationary fractionally integrated processes
Author
Abstract
Suggested Citation
Download full text from publisher
Other versions of this item:
- Marmol, Francesc, 1998. "Spurious regression theory with nonstationary fractionally integrated processes," Journal of Econometrics, Elsevier, vol. 84(2), pages 233-250, June.
References listed on IDEAS
- 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.
- 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.
- Gourieroux Christian & Akonom, J., 1988. "Functional limit theorem for fractional processes (a)," CEPREMAP Working Papers (Couverture Orange) 8801, CEPREMAP.
- 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.
- Granger, C. W. J. & Newbold, P., 1974. "Spurious regressions in econometrics," Journal of Econometrics, Elsevier, vol. 2(2), pages 111-120, July.
- 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.
- repec:crs:wpaper:8913 is not listed on IDEAS
- Hassler, Uwe, 1996. "Spurious regressions when stationary regressors are included," Economics Letters, Elsevier, vol. 50(1), pages 25-31, January.
- Baillie, Richard T., 1996. "Long memory processes and fractional integration in econometrics," Journal of Econometrics, Elsevier, vol. 73(1), pages 5-59, July.
- 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 103-112, January.
- C. W. J. Granger & Roselyne Joyeux, 1980. "An Introduction To Long‐Memory Time Series Models And Fractional Differencing," Journal of Time Series Analysis, Wiley Blackwell, vol. 1(1), pages 15-29, January.
- Juan J. Dolado & Francisco Mármol, 1996. "Efficient Estimation of Cointegrating Relationships Among Higher Order and Fractionally Integrated Processes," Working Papers 9617, Banco de España.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- D. Ventosa-Santaulària, 2009.
"Spurious Regression,"
Journal of Probability and Statistics, Hindawi, vol. 2009, pages 1-27, August.
- Ventosa-Santaulària, Daniel, 2008. "Spurious Regression," MPRA Paper 59008, University Library of Munich, Germany.
- Aparicio, Felipe M. & Escribano, Álvaro & Mármol, Francesc, 1999.
"A new instrumental variable approach for estimation and testing in fractional cointegrating regressions,"
DES - Working Papers. Statistics and Econometrics. WS
6298, Universidad Carlos III de Madrid. Departamento de Estadística.
- Aparicio, Felipe M. & Escribano, Álvaro & Mármol, Francesc, 1999. "A new instrumental variable approach for estimation and testing in fractional cointegrating regressions," DES - Working Papers. Statistics and Econometrics. WS 6292, Universidad Carlos III de Madrid. Departamento de Estadística.
- Noriega Antonio E. & Ventosa-Santaulària Daniel, 2006.
"Spurious Regression and Econometric Trends,"
Working Papers
2006-05, Banco de México.
- Antonio E. Noriega & School of Economics, University of Guanajuato & Daniel Ventosa-Santaulà ria & School of Economics, University of Guanajuato, 2006. "Spurious regression and econometric trends," Computing in Economics and Finance 2006 151, Society for Computational Economics.
- Phillips, Peter C.B., 2005.
"Challenges of trending time series econometrics,"
Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 68(5), pages 401-416.
- Peter C.B. Phillips, 2004. "Challenges of Trending Time Series Econometrics," Cowles Foundation Discussion Papers 1472, Cowles Foundation for Research in Economics, Yale University.
- 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.
- Sun, Yixiao, 2006. "Spurious regressions between stationary generalized long memory processes," Economics Letters, Elsevier, vol. 90(3), pages 446-454, March.
- 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.
- Daniel Ventosa-Santaularia & Antonio E. Noriega, 2005. "Spurious regression under broken trend stationarity," Computing in Economics and Finance 2005 186, Society for Computational Economics.
- Noriega, Antonio E. & Ventosa Santaulària, Daniel, 2005. "Spurious regression under broken trend stationarity," MPRA Paper 58768, University Library of Munich, Germany.
- Antonio E. Noriega & Daniel Ventosa-Santaularia, 2005. "Spurious regression under broken trend stationarity," Department of Economics and Finance Working Papers EM200501, Universidad de Guanajuato, Department of Economics and Finance.
- Zhang, Lingxiang, 2013. "Partial unit root and linear spurious regression: A Monte Carlo simulation study," Economics Letters, Elsevier, vol. 118(1), pages 189-191.
- Mármol, Francesc, 1999. "How spurious features arise in case of fractional cointegration," DES - Working Papers. Statistics and Econometrics. WS 6349, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Francesc Marmol & Juan C. Reboredo, 1999.
"Near Observational Equivalence and Fractionally Integrated Processes,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 61(2), pages 283-290, May.
- Marmol, Francesc & Reboredo, Juan C., 1998. "Near observational equivalence and fractionally integrated processes," DES - Working Papers. Statistics and Econometrics. WS 10611, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Kruse Robinson & Ventosa-Santaulària Daniel & Noriega Antonio E., 2017.
"Changes in persistence, spurious regressions and the Fisher hypothesis,"
Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 21(3), pages 1-28, June.
- Robinson Kruse & Daniel Ventosa-Santaulària & Antonio E. Noriega, 2013. "Changes in persistence, spurious regressions and the Fisher hypothesis," CREATES Research Papers 2013-11, Department of Economics and Business Economics, Aarhus University.
- Antonio E. Noriega & Daniel Ventosa‐Santaulària, 2007.
"Spurious Regression and Trending Variables,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 69(3), pages 439-444, June.
- Antonio E. Noriega & Daniel Ventosa-Santaularia, 2006. "Spurious Regression and Trending Variables," Department of Economics and Finance Working Papers EM200701, Universidad de Guanajuato, Department of Economics and Finance, revised Jan 2007.
- Noriega, Antonio E. & Ventosa-Santaulària, Daniel, 2007. "Spurious Regression and Trending Variables," MPRA Paper 58775, University Library of Munich, Germany.
- Ferson, Wayne E. & Sarkissian, Sergei & Simin, Timothy, 2008.
"Asset Pricing Models with Conditional Betas and Alphas: The Effects of Data Snooping and Spurious Regression,"
Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 43(2), pages 331-353, June.
- Wayne E. Ferson & Sergei Sarkissian & Timothy Simin, 2006. "Asset Pricing Models with Conditional Betas and Alphas: The Effects of Data Snooping and Spurious Regression," NBER Working Papers 12658, National Bureau of Economic Research, Inc.
- Lee, Young-Sook & Kim, Tae-Hwan & Newbold, Paul, 2005.
"Spurious nonlinear regressions in econometrics,"
Economics Letters, Elsevier, vol. 87(3), pages 301-306, June.
- Young-Sook Lee & Tae-Hwan Kim & Paul Newbold, 2004. "Spurious Nonlinear Regressions In Econometrics," Royal Economic Society Annual Conference 2004 27, Royal Economic Society.
- Mármol, Francesc, 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 EstadÃstica.
- 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.
- Noriega, Antonio E. & Ventosa-Santaulària, Daniel, 2005. "Spurious regression under deterministic and stochastic trends," MPRA Paper 58772, University Library of Munich, Germany.
- Hao Jin & Si Zhang & Jinsuo Zhang, 2017. "Spurious regression due to neglected of non-stationary volatility," Computational Statistics, Springer, vol. 32(3), pages 1065-1081, September.
- Noriega Antonio E. & Ventosa-Santaulària Daniel, 2011.
"A Simple Test for Spurious Regressions,"
Working Papers
2011-05, Banco de México.
- Antonio E. Noriega & Daniel Ventosa-Santaularia, 2011. "A Simple Test for Spurious Regressions," CREATES Research Papers 2011-15, Department of Economics and Business Economics, Aarhus University.
- Wayne E. Ferson & Sergei Sarkissian & Timothy T. Simin, 2003.
"Spurious Regressions in Financial Economics?,"
Journal of Finance, American Finance Association, vol. 58(4), pages 1393-1413, August.
- Wayne E. Ferson & Sergei Sarkissian & Timothy Simin, 2002. "Spurious Regressions in Financial Economics?," NBER Working Papers 9143, National Bureau of Economic Research, Inc.
- Jin, Hao & Zhang, Jinsuo & Zhang, Si & Yu, Cong, 2013. "The spurious regression of AR(p) infinite-variance sequence in the presence of structural breaks," Computational Statistics & Data Analysis, Elsevier, vol. 67(C), pages 25-40.
- Hualde, Javier, 2006.
"Unbalanced Cointegration,"
Econometric Theory, Cambridge University Press, vol. 22(5), pages 765-814, October.
- Javier Hualde, 2005. "Unbalanced Cointegration," Faculty Working Papers 06/05, School of Economics and Business Administration, University of Navarra.
- 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.
- Stewart, Chris, 2006. "Spurious correlation of I(0) regressors in models with an I(1) dependent variable," Economics Letters, Elsevier, vol. 91(2), pages 184-189, May.
- Marmol, Francesc & Velasco, Carlos, 2002. "Trend stationarity versus long-range dependence in time series analysis," Journal of Econometrics, Elsevier, vol. 108(1), pages 25-42, May.
- Davidson, James, 2002. "A model of fractional cointegration, and tests for cointegration using the bootstrap," Journal of Econometrics, Elsevier, vol. 110(2), pages 187-212, October.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- 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.
- Gonzalo, Jesus & Lee, Tae-Hwy, 1998.
"Pitfalls in testing for long run relationships,"
Journal of Econometrics, Elsevier, vol. 86(1), pages 129-154, June.
- Gonzalo, J. & Lee, T.H., 1995. "Pitfalls in Testing for Long Run Relationships," Papers 38, Boston University - Department of Economics.
- D. Ventosa-Santaulària, 2009.
"Spurious Regression,"
Journal of Probability and Statistics, Hindawi, vol. 2009, pages 1-27, August.
- Ventosa-Santaulària, Daniel, 2008. "Spurious Regression," MPRA Paper 59008, University Library of Munich, Germany.
- Stewart, Chris, 2006. "Spurious correlation of I(0) regressors in models with an I(1) dependent variable," Economics Letters, Elsevier, vol. 91(2), pages 184-189, May.
- 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.
- Hassler, Uwe, 1999. "Nonsense regressions due to time-varying means," DES - Working Papers. Statistics and Econometrics. WS 6361, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Mármol, Francesc, 1999. "How spurious features arise in case of fractional cointegration," DES - Working Papers. Statistics and Econometrics. WS 6349, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Gil-Alana, Luis A. & Yaya, OlaOluwa S. & Akinsomi, Omokolade & Coskun, Yener, 2020. "How do stocks in BRICS co-move with real estate stocks?," International Review of Economics & Finance, Elsevier, vol. 69(C), pages 93-101.
- Antonio E. Noriega & Daniel Ventosa‐Santaulària, 2007.
"Spurious Regression and Trending Variables,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 69(3), pages 439-444, June.
- Antonio E. Noriega & Daniel Ventosa-Santaularia, 2006. "Spurious Regression and Trending Variables," Department of Economics and Finance Working Papers EM200701, Universidad de Guanajuato, Department of Economics and Finance, revised Jan 2007.
- Noriega, Antonio E. & Ventosa-Santaulària, Daniel, 2007. "Spurious Regression and Trending Variables," MPRA Paper 58775, University Library of Munich, Germany.
- Chevillon, Guillaume & Hecq , Alain & Laurent, Sébastien, 2015.
"Long Memory Through Marginalization of Large Systems and Hidden Cross-Section Dependence,"
ESSEC Working Papers
WP1507, ESSEC Research Center, ESSEC Business School.
- Chevillon, G. & Hecq, A.W. & Laurent, S.F.J.A., 2015. "Long memory through marginalization of large systems and hidden cross-section dependence," Research Memorandum 014, Maastricht University, Graduate School of Business and Economics (GSBE).
- Guillaume Chevillon & Alain Hecq & Sébastien Laurent, 2015. "Long Memory Through Marginalization of Large Systems and Hidden Cross-Section Dependence," Working Papers hal-01158524, HAL.
- Davidson, James, 2002. "A model of fractional cointegration, and tests for cointegration using the bootstrap," Journal of Econometrics, Elsevier, vol. 110(2), pages 187-212, October.
- Christensen, Bent Jesper & Nielsen, Morten Orregaard, 2006.
"Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting,"
Journal of Econometrics, Elsevier, vol. 133(1), pages 343-371, July.
- Bent Jesper Christensen & Morten Ø. Nielsen, "undated". "Semiparametric Analysis of Stationary Fractional Cointegration and the Implied-Realized Volatility Relation in High-Frequency Options Data," Economics Working Papers 2001-4, Department of Economics and Business Economics, Aarhus University.
- Javier Haulde & Morten Ørregaard Nielsen, 2022.
"Fractional integration and cointegration,"
CREATES Research Papers
2022-02, Department of Economics and Business Economics, Aarhus University.
- Javier Hualde & Morten {O}rregaard Nielsen, 2022. "Fractional integration and cointegration," Papers 2211.10235, arXiv.org.
- Noriega Antonio E. & Ventosa-Santaulària Daniel, 2011.
"A Simple Test for Spurious Regressions,"
Working Papers
2011-05, Banco de México.
- Antonio E. Noriega & Daniel Ventosa-Santaularia, 2011. "A Simple Test for Spurious Regressions," CREATES Research Papers 2011-15, Department of Economics and Business Economics, Aarhus University.
- Uwe Hassler, 2003. "Nonsense regressions due to neglected time-varying means," Statistical Papers, Springer, vol. 44(2), pages 169-182, April.
- Clive Granger & Namwon Hyung & Yongil Jeon, 2001.
"Spurious regressions with stationary series,"
Applied Economics, Taylor & Francis Journals, vol. 33(7), pages 899-904.
- Granger, Clive W.J. & Hyung, Namwon & Jeon, Yongil, 1998. "Spurious Regressions with Stationary Series," University of California at San Diego, Economics Working Paper Series qt7r3353t8, Department of Economics, UC San Diego.
- Diebold, F.X. & Kilian, L. & Nerlove, Marc, 2006.
"Time Series Analysis,"
Working Papers
28556, University of Maryland, Department of Agricultural and Resource Economics.
- Francis X. Diebold & Lutz Kilian & Marc Nerlove, 2006. "Time Series Analysis," PIER Working Paper Archive 06-019, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- Gil-Alana, Luis A. & Yaya, OlaOluwa S, 2018. "How do Stocks in BRICS co-move with REITs?," MPRA Paper 88753, University Library of Munich, Germany.
- Noor Ghazali & Shamshubariah Ramlee, 2003. "A long memory test of the long-run Fisher effect in the G7 countries," Applied Financial Economics, Taylor & Francis Journals, vol. 13(10), pages 763-769.
- Koop, Gary & Ley, Eduardo & Osiewalski, Jacek & Steel, Mark F. J., 1997.
"Bayesian analysis of long memory and persistence using ARFIMA models,"
Journal of Econometrics, Elsevier, vol. 76(1-2), pages 149-169.
- KOOP , Gary & LEY , Eduardo & OSIEWALSKI , Jacek & STEEL , Mark, 1995. "Bayesian Analysis of Long Memory and Persistence using ARFIMA Models," LIDAM Discussion Papers CORE 1995035, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Koop, G. & Ley, E. & Osiewalski, J. & Steel, M. F. J., 1997. "Bayesian analysis of long memory and persistence using ARFIMA models," LIDAM Reprints CORE 1246, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Gary Koop & Eduardo Ley & Jacek Osiewalski & Mark F.J. Steel, 1995. "Bayesian Analysis of Long Memory and Persistence using ARFIMA Models," Econometrics 9505001, University Library of Munich, Germany, revised 22 Jun 2004.
- Gary Koop, 1995. "Bayesian Analysis of Long Memory and Persistence using ARFIMA Models," Working Papers gkoop-95-01, University of Toronto, Department of Economics.
Corrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cte:wsrepe:10733. See general information about how to correct material in RePEc.
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 CitEc recognized a bibliographic reference but did not link an item in RePEc 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 RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Ana Poveda (email available below). General contact details of provider: http://portal.uc3m.es/portal/page/portal/dpto_estadistica .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.