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  • Search: subject:"Spurious cointegration"
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Year of publication
Subject
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Estimation theory 1 High Dimensional Covariances 1 Persistence 1 Principal Components 1 Schätztheorie 1 Spurious Cointegration 1 Spurious Factors 1 Spurious cointegration 1 Time series analysis 1 Zeitreihenanalyse 1 integrated processes 1 structural breaks 1
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Online availability
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Free 2
Type of publication
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Book / Working Paper 2
Type of publication (narrower categories)
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Arbeitspapier 1 Graue Literatur 1 Non-commercial literature 1 Working Paper 1
Language
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English 2
Author
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Gonzalo, Jesús 1 Noriega, Antonio E. 1 Pitarakis, Jean-Yves 1 Ventosa-Santaulària, Daniel 1
Institution
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Banco de México 1
Published in...
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Working Papers / Banco de México 1 Working paper 1
Source
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ECONIS (ZBW) 1 RePEc 1
Showing 1 - 2 of 2
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Spurious relationships in high dimensional systems with strong or mild persistence
Gonzalo, Jesús; Pitarakis, Jean-Yves - 2020
Persistent link: https://www.econbiz.de/10012501525
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Spurious Cointegration: The Engle-Granger Test in the Presence of Structural Breaks
Noriega, Antonio E.; Ventosa-Santaulària, Daniel - Banco de México - 2006
This paper analyses the asymptotic behavior of the Engle-Granger t-test for cointegration when the data include structural breaks, instead of being pure I(1) processes. We find that the test does not possess a limiting distribution, but diverges as the sample size tends to infinity. Calculations...
Persistent link: https://www.econbiz.de/10004978078
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