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Spurious regression : a higher-order problem

Sollis, Robert - In: Economics letters 111 (2011) 2, pp. 141-143

Persistent link: https://www.econbiz.de/10009242392

Testing for parameter instability in predictive regression models

Georgiev, Iliyan; Harvey, David I.; Leybourne, Stephen James - In: Journal of econometrics 204 (2018) 1, pp. 101-118

Persistent link: https://www.econbiz.de/10011974719

A bootstrap stationarity test for predictive regression invalidity

Georgiev, Iliyan; Harvey, David I.; Leybourne, Stephen James - In: Journal of business & economic statistics : JBES ; a … 37 (2019) 3, pp. 528-541

Persistent link: https://www.econbiz.de/10012178194

Simple tests for stock return predictability with good size and power properties

Harvey, David I.; Leybourne, Stephen James; Taylor, Robert - In: Journal of econometrics 224 (2021) 1, pp. 198-214

Persistent link: https://www.econbiz.de/10013275372

Bonferroni type tests for return predictability and the initial condition

Astill, Sam; Harvey, David I.; Leybourne, Stephen James; … - In: Journal of business & economic statistics : JBES ; a … 42 (2024) 2, pp. 499-515

Persistent link: https://www.econbiz.de/10015053422

Improved tests for stock return predictability

Harvey, David I.; Leybourne, Stephen James; Taylor, Robert - In: Econometric reviews 42 (2023) 9/10, pp. 834-861

Persistent link: https://www.econbiz.de/10014420348

Bonferroni-type tests for return predictability with possibly trending predictors

Astill, Sam; Harvey, David I.; Leybourne, Stephen James; … - 2025

Persistent link: https://www.econbiz.de/10015372710

SPURIOUS REGRESSIONS WITH PROCESSESAROUND LINEAR TRENDS OR DRIFTS

Kim, Tae-Hwan; Lee-Scheller, Young-Sook; Newbold, Paul - University <Nottingham> / Department of Economics - 2003

In this paper we consider the situation where the deterministiccomponents of the processes generating individual series are linear trendsand the individual series are independent I(0) or I(1) processes. We showthat when those time series are used in ordinary least squares regression,the...

Persistent link: https://www.econbiz.de/10005868905

Spurious regressions with processes around linear trends or drifts

Kim, Tai-Hwan (contributor); Lee, Young-Sook (contributor); … - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001762063

Spurious regressions with stationary processes around linear trends

Kim, Tae-hwan; Lee, Young-Sook; Newbold, Paul - In: Economics letters 83 (2004) 2, pp. 257-262

Persistent link: https://www.econbiz.de/10001991584