The spurious regression of fractionally integrated processes

By Wen-Jen Tsay, C. Chung. 2000

138 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/7d123a81512fee09728b344de143049c8600e5e6

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Yixiao Sun
2. Taylor Grant
3. Matthew J. Lebo
4. Timothy J. Vogelsang

In Finance

1. Yixiao Sun
2. Taylor Grant
3. Matthew J. Lebo
4. Morten Ørregaard Nielsen
5. Per Frederiksen
6. Xiaohong Chen

Citations in the corpus

• A CONVERGENT t-STATISTIC IN SPURIOUS REGRESSIONS (2004, background): “…profound implications+ Note that the OLS estimator Zb is consistent, theR2 converges to zero, and the Durbin–Watson~DW!statistic does not approach zero~Tsay and Chung, 2000!+ The behaviors of Zb, R2, and DW are thus the same as in the case of no spurious effect+ The only qualitative difference is…”
• Error Correction Methods with Political Time Series (2016, methodology): “…concentrated on identifying auto-correlation and filtering to account for it (e.g., Granger and Newbold 1974; Box and Jenkins 1976; Granger and Joyeux 1980; Clarke and Stewart 1994; Box-Steffensmeier and Smith 1996, 1998; Lebo, Walker, and Clarke 2000; Tsay and Chung 2000; Clarke and Lebo 2003).”
• Semiparametric Estimation in Time‐Series Regression with Long‐Range Dependence (2005, unknown): “du £ dx to avoid any spurious regression effects (see Phillips, 1986; Tsay and Chung, 2000).”