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Spurious multivariate regressions under fractionally integrated processes
Communications in Statistics - Theory and Methods ( IF 0.6 ) Pub Date : 2020-05-07 , DOI: 10.1080/03610926.2020.1758945 Daniel Ventosa-Santaulària 1 , J. Eduardo Vera-Valdés 2 , Katarzyna Łasak 3 , Ricardo Ramírez-Vargas 4
Communications in Statistics - Theory and Methods ( IF 0.6 ) Pub Date : 2020-05-07 , DOI: 10.1080/03610926.2020.1758945 Daniel Ventosa-Santaulària 1 , J. Eduardo Vera-Valdés 2 , Katarzyna Łasak 3 , Ricardo Ramírez-Vargas 4
Affiliation
This article studies spurious regression in the multivariate case for any finite number of fractionally integrated variables, stationary or not. We prove that the asymptotic behavior of the estimat...
中文翻译：
分数整合过程下的虚假多元回归
本文研究了多元情况下任何有限数量的分数积分变量的虚假回归，无论是否平稳。我们证明了估计的渐近行为......
更新日期：2020-05-07
中文翻译：
分数整合过程下的虚假多元回归
本文研究了多元情况下任何有限数量的分数积分变量的虚假回归，无论是否平稳。我们证明了估计的渐近行为......
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