How spurious features arise in case of fractional cointegration

Francesc Marmol

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

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.

Keywords: Spurious; regressions; cointegration; fractionally; integrated; processes (search for similar items in EconPapers)
Date: 1999-09
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Persistent link: https://EconPapers.repec.org/RePEc:cte:wsrepe:6349

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