Spurius regression theory with nonstationary fractionally integrated processes

Francesc Marmol

DES - Working Papers. Statistics and Econometrics. WS from Universidad Carlos III de Madrid. Departamento de Estadística

Abstract: This 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.

Keywords: Spurious; regressions; Nonstationary; fractionally; integrated; processes; Deterministic; trends (search for similar items in EconPapers)
Date: 1997-01
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Journal Article: Spurious regression theory with nonstationary fractionally integrated processes (1998)
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Persistent link: https://EconPapers.repec.org/RePEc:cte:wsrepe:10733

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