Title of article
Logarithmic spurious regressions
Author/Authors
Robert M. de Jong، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2003
Pages
9
From page
13
To page
21
Abstract
Spurious regressions, i.e. regressions in which an integrated process is regressed on another integrated process while there is no cointegration, are well understood in contemporary time series econometrics. In this paper, the properties of regressions in which the logarithm of an integrated process is regressed on the logarithm of another integrated process were investigated.
Keywords
Spurious regression , Unit roots , cointegration
Journal title
Economics Letters
Serial Year
2003
Journal title
Economics Letters
Record number
435261
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