Spurious correlation under fractional integration in output series

Mehmet Dalkır

Economics Letters, 2010, vol. 107, issue 2, 165-168

Abstract: This article identifies caveats of using the correlation coefficient between two fractionally integrated time series as a measure of association between them, and compares various procedures for removing the long-range dependence component in the output series of the G7.

Keywords: Fractional; integration; Output; correlations; Stochastic; systems (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:107:y:2010:i:2:p:165-168

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