Spurious Regression Under Broken-Trend Stationarity
نویسندگان
چکیده
منابع مشابه
Spurious Regression
The spurious regression phenomenon in least squares occurs for a wide range of data generating processes, such as driftless unit roots, unit roots with drift, long memory, trend and brokentrend stationarity. Indeed, spurious regressions have played a fundamental role in the building of modern time series econometrics and have revolutionized many of the procedures used in applied macroeconomics....
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ژورنال
عنوان ژورنال: Journal of Time Series Analysis
سال: 2006
ISSN: 0143-9782,1467-9892
DOI: 10.1111/j.1467-9892.2006.00482.x