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The spurious regression of AR(p)
infinite-variance
sequence
in the presence of structural breaks
Jin, Hao
;
Zhang, Jinsuo
;
Zhang, Si
;
Yu, Cong
- In:
Computational Statistics & Data Analysis
67
(
2013
)
C
,
pp. 25-40
breaks by least squares using asymptotic theory. It is found that when regressing two independent
infinite-variance
sequence
…
Persistent link: https://www.econbiz.de/10010682538
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