✦ LIBER ✦

SPURIOUS REGRESSIONS BETWEEN I(d) PROCESSES

✍ Scribed by Francesc Marmol

Book ID: 111039789
Publisher: John Wiley and Sons
Year: 1995
Tongue: English
Weight: 381 KB
Volume: 16
Category: Article
ISSN: 0143-9782
DOI: 10.1111/j.1467-9892.1995.tb00236.x

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

Spurious regressions between I(1) proces

Spurious regressions between I(1) processes with long memory errors

✍ Nunzio Cappuccio; Diego Lubian 📂 Article 📅 1997 🏛 John Wiley and Sons 🌐 English ⚖ 247 KB

Spurious regressions between stationary

Spurious regressions between stationary generalized long memory processes

✍ Yixiao Sun 📂 Article 📅 2006 🏛 Elsevier Science 🌐 English ⚖ 115 KB

Spurious regressions with stationary pro

Spurious regressions with stationary processes around linear trends

✍ Tae-Hwan Kim; Young-Sook Lee; Paul Newbold 📂 Article 📅 2004 🏛 Elsevier Science 🌐 English ⚖ 98 KB

The spurious regression of fractionally

The spurious regression of fractionally integrated processes

✍ Wen-Jen Tsay; Ching-Fan Chung 📂 Article 📅 2000 🏛 Elsevier Science 🌐 English ⚖ 193 KB

NONSENSE REGRESSIONS BETWEEN INTEGRATED

NONSENSE REGRESSIONS BETWEEN INTEGRATED PROCESSES OF DIFFERENT ORDERS

✍ Francesc Marmol 📂 Article 📅 2009 🏛 John Wiley and Sons 🌐 English ⚖ 130 KB

A wavelet solution to the spurious regre

A wavelet solution to the spurious regression of fractionally differenced processes

✍ Yanqin Fan; Brandon Whitcher 📂 Article 📅 2003 🏛 John Wiley and Sons 🌐 English ⚖ 185 KB

## Abstract In this paper we propose to overcome the problem of spurious regression between fractionally differenced processes by applying the discrete wavelet transform (DWT) to both processes and then estimating the regression in the wavelet domain. The DWT is known to approximately decorrelate h