Resolving spurious regressions and serially correlated errors
Author:
Publisher
Springer Science and Business Media LLC
Subject
Economics and Econometrics,Social Sciences (miscellaneous),Mathematics (miscellaneous),Statistics and Probability
Link
http://link.springer.com/content/pdf/10.1007/s00181-012-0647-4.pdf
Reference10 articles.
1. Agiakloglou C (2009) Evidence of ARCH(1) errors in the context of spurious regressions. Commun Stat 38: 1803–1810
2. Box GEP, Jenkins GM (1976) Time series analysis, forecasting and control. Holden Day, San Francisco
3. Ferson EW, Sarkissian S, Simin T (2003) Spurious regressions in financial economics?. J Finance 58: 1393–1413
4. Granger CWJ, Newbold P (1974) Spurious regressions in econometrics. J Econom 2: 111–120
5. Granger CWJ, Hyung N, Jeon Y (2001) Spurious regressions with stationary series. Appl Econ 33: 899–904
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