Leong, Chee Kian; Huang, Weihong - In: Journal of Applied Statistics 37 (2010) 2, pp. 215-233
This paper proposes a wavelet-based approach to analyze spurious and cointegrated regressions in time series. The approach is based on the properties of the wavelet covariance and correlation in Monte Carlo studies of spurious and cointegrated regression. In the case of the spurious regression,...