• Title of article

    Spurious regressions between stationary generalized long memory processes

  • Author/Authors

    Yixiao Sun، نويسنده ,

  • Issue Information
    روزنامه با شماره پیاپی سال 2006
  • Pages
    9
  • From page
    446
  • To page
    454
  • Abstract
    This paper shows that a spurious regression can occur between two stationary generalized fractional processes, as long as their generalized fractional differencing parameters sum up to a value greater than 0.5 and their spectral densities have poles at the same location. This theoretical finding is supported by simulations
  • Keywords
    Cyclical co-movement , Gegenbauer process , Spurious regression
  • Journal title
    Economics Letters
  • Serial Year
    2006
  • Journal title
    Economics Letters
  • Record number

    435888