Spurious correlation under fractional integration in output series

This article identifies caveats of using the correlation coefficient between two fractionally integrated time series as a measure of association between them, and compares various procedures for removing the long-range dependence component in the output series of the G7.

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Year of publication:	2010
Authors:	Dalkir, Mehmet
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 107.2010, 2, p. 165-168
Publisher:	Elsevier
Keywords:	Fractional integration Output correlations Stochastic systems

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008551387