Jin, Hao; Zhang, Jinsuo; Zhang, Si; Yu, Cong - In: Computational Statistics & Data Analysis 67 (2013) C, pp. 25-40
This paper analyzes a spurious regression involving AR(p) infinite-variance processes in the presence of structural breaks by least squares using asymptotic theory. It is found that when regressing two independent infinite-variance sequence with breaks in the level and slope of trend, no matter...