How spurious features arise in case of fractional cointegration

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dc.contributor.author Mármol, Francesc
dc.contributor.editor Universidad Carlos III de Madrid. Departamento de Estadística
dc.date.accessioned 2010-01-12T16:08:36Z
dc.date.available 2010-01-12T16:08:36Z
dc.date.issued 1999-09
dc.identifier.uri http://hdl.handle.net/10016/6349
dc.description.abstract It is well-known that a linear regression among the levels of independent highly persistent processes yields high values of the corresponding coefficient of determination along with divergent I-ratios and low values of the Durbin-Watson statistic. In fact, such a behaviour of the customary OLS statistics has become a sort of definition of the so-called spurious regressions in econometrics. In this paper, however, we show how these spurious stylized facts also arise among nonstationary (fractionally) cointegrated processes.
dc.format.mimetype application/pdf
dc.language.iso eng
dc.relation.ispartofseries UC3M Working Papers. Statistics and Econometrics
dc.relation.ispartofseries 99-65-22
dc.rights Atribución-NoComercial-SinDerivadas 3.0 España
dc.rights.uri http://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subject.other Spurious regressions
dc.subject.other cointegration
dc.subject.other fractionally integrated processes
dc.title How spurious features arise in case of fractional cointegration
dc.type workingPaper
dc.subject.eciencia Estadística
dc.rights.accessRights openAccess
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