Title of article :
Spurious regressions between stationary generalized long memory processes
Author/Authors :
Yixiao Sun، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2006
Abstract :
This paper shows that a spurious regression can occur between two stationary generalized fractional processes, as long as their generalized fractional differencing parameters sum up to a value greater than 0.5 and their spectral densities have poles at the same location. This theoretical finding is supported by simulations
Keywords :
Cyclical co-movement , Gegenbauer process , Spurious regression
Journal title :
Economics Letters
Journal title :
Economics Letters