Comment on testing for spurious and cointegrated regressions: a wavelet approach

Javier Fern�ndez-Macho
Authors registered in the RePEc Author Service: Javier Fernandez-Macho

Journal of Applied Statistics, 2015, vol. 42, issue 8, 1759-1769

Abstract: In a recent paper, Leong and Huang [6] proposed a wavelet-correlation-based approach to test for cointegration between two time series. However, correlation and cointegration are two different concepts even when wavelet analysis is used. It is known that statistics based on non-stationary integrated variables have non-standard asymptotic distributions. However, wavelet analysis offsets the integrating order of non-stationary series so that traditional asymptotics on stationary variables suffices to ascertain the statistical properties of wavelet-based statistics. Based on this, this note shows that wavelet correlations cannot be used as a test of cointegration.

Date: 2015
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1080/02664763.2015.1005583 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:japsta:v:42:y:2015:i:8:p:1759-1769

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/CJAS20

DOI: 10.1080/02664763.2015.1005583

Access Statistics for this article

Journal of Applied Statistics is currently edited by Robert Aykroyd

More articles in Journal of Applied Statistics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().