Spurious correlation under fractional integration in output series

被引：3

作者：

Dalkir, Mehmet ^{[1
]}

机构：

[1] Univ New Brunswick, Dept Econ, Fredericton, NB E3B 5A3, Canada

来源：

ECONOMICS LETTERS | 2010年 / 107卷 / 02期

关键词：

Fractional integration; Output correlations; Stochastic systems; REGRESSION; COMOVEMENT;

D O I：

10.1016/j.econlet.2010.01.014

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This article identifies caveats of using the correlation coefficient between two fractionally integrated time series as a measure of association between them, and compares various procedures for removing the long-range dependence component in the output series of the G7. (C) 2010 Elsevier B.V. All rights reserved.

引用

页码：165 / 168

页数：4

共 20 条

[1]

[Anonymous], 10130 NBER

[2]

[Anonymous], FED RES BANK KANS CI

[3]

BACKUS DK, 1992, AM ECON REV, V82, P864

[4] Determinants of business cycle comovement: a robust analysis [J].

Baxter, M ;

Kouparitsas, MA .

JOURNAL OF MONETARY ECONOMICS, 2005, 52 (01) :113-157

[5]

Biagini F, 2008, PROBAB APPL SER, P1

[6] Sample means, sample autocovariances, and linear regression of stationary multivariate long memory processes [J].

Chung, CF .

ECONOMETRIC THEORY, 2002, 18 (01) :51-78

[7]

Doukhan P., 2003, Theory and applications of long-range dependence

[8] Breaks in the variability and comovement of G-7 economic growth [J].

Doyle, BM ;

Faust, J .

REVIEW OF ECONOMICS AND STATISTICS, 2005, 87 (04) :721-740

[9]

Granger C., 1974, J Econom, V2, P111, DOI [10.1002/9780470996249.ch27, 10.1016/0304-4076(74)90034-7, DOI 10.1016/0304-4076(74)90034-7]

[10] Trade, finance, specialization, and synchronization [J].

Imbs, J .

REVIEW OF ECONOMICS AND STATISTICS, 2004, 86 (03) :723-734

← 1 2 →