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SPURIOUS REGRESSIONS BETWEEN I( d ) PROCESSES
Author(s) -
Marmol Francesc
Publication year - 1995
Publication title -
journal of time series analysis
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.576
H-Index - 54
eISSN - 1467-9892
pISSN - 0143-9782
DOI - 10.1111/j.1467-9892.1995.tb00236.x
Subject(s) - spurious relationship , mathematics , generalization , econometrics , regression , linear regression , statistics , mathematical analysis
. This paper develops an analytical study for the nonsense or spurious regressions that are generated by quite general integrated (of order d ) random processes. In doing this, we generalize the work of Phillips (Understanding spurious regressions in econometrics. J. Econ. 33 (1986), 311–40) who provided an analytical study of linear regressions involving only I(1) stochastic processes. Our generalization of Phillips' work to the I( d ) case is made employing fractional differencing techniques.