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Spurius regression theory with nonstationary fractionally integrated processes

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dc.affiliation.dptoUC3M. Departamento de Estadísticaes
dc.contributor.authorMarmol, Francesc
dc.contributor.editorUniversidad Carlos III de Madrid. Departamento de Estadísticaes
dc.date.accessioned2011-04-13T18:20:23Z
dc.date.available2011-04-13T18:20:23Z
dc.date.issued1997-01
dc.description.abstractThis paper develops an analytical study of the asymptotic distributions obtained when we run linear regressions in the levels of nonstationary fractionally integrated FI(d) processes, that are spuriously related in a multivariate single-equation setting which aIIows for the existence of co integrating relationships and quite general deterministic components. In doing this, the analytical studies of PhiIIips (1986), haldrup (1994) and Marmol (1995, 1996) are embedded in our results.es
dc.format.mimetypeapplication/pdf
dc.identifier.urihttps://hdl.handle.net/10016/10733
dc.language.isoenges
dc.relation.ispartofseriesUC3M Working papers. Statistics and Econometricses
dc.relation.ispartofseries97-03es
dc.rightsAtribución-NoComercial-SinDerivadas 3.0 España
dc.rights.accessRightsopen access
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subject.ecienciaEstadísticaes
dc.subject.otherSpurious regressionses
dc.subject.otherNonstationary fractionally integrated processeses
dc.subject.otherDeterministic trendses
dc.titleSpurius regression theory with nonstationary fractionally integrated processeses
dc.typeworking paper*
dspace.entity.typePublication
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