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
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