The spurious regression of fractionally integrated processes

Journal of Econometrics

Volumn 96, Issue 1, 2000, Pages 155-182

  Tsay, Wen Jen ^a   Chung, Ching Fan ^b  

^a INSTITUTE OF ECONOMICS   (Taiwan)

^b NATIONAL TAIWAN UNIVERSITY   (Taiwan)

Author keywords

Fractionally integrated processes; Long memory; Spurious detrending; Spurious regression

Indexed keywords

EID: 0012798871     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-4076(99)00056-1     Document Type: Article

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