Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5062631 | Economics Letters | 2006 | 9 Pages |
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
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Yixiao Sun,