Article ID Journal Published Year Pages File Type
5062631 Economics Letters 2006 9 Pages PDF
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.

Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
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