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The purpose of this paper is to present the method of avoiding the danger of a spurious relationship and their effects on statistical inference. This method consists in specifying the econometric model in such a way to ensure the realization of the congruence postulate in the Zieliński sense, i.e. the congruence of harmonic structures for both sides of a model.(fragment of text)
Twórcy
autor
- Nicolaus Copernicus University in Toruń, Poland
Bibliografia
- Diebold, F. X., Rudebusch, G. D. (1989), Long Memory and Persistence in Aggregate Output, Journal of Monetary Economics, 24, 189-209.
- Durlauf, S. N., Phillips, C. B. (1988), Trends versus Random Walks in Time Series Analysis, Econometrica, vol. 56, 1333-1354.
- Entorf, H. (992), Random Walk with Drift, Simultaneous Errors, and Small Samples: Simulating the Bird's Eye View, Institut National de la Statistique et des Etudes Economiques.
- Granger, C. W. J., Newbold, P. (1974), Spurious Regressions in Econometrics, Journal of Econometrics, vol. 2, 111-120.
- Granger, C. W. J., Hyung, N., Jeon, Y. (1998), Spurious Regressions with Stationary Series, Discussion Paper 98-25, University of California, San Diego.
- Granger, C. W. J., Swanson, N. (1997), An Introduction to Stochastic Unit-Root Processes, Journal of Econometrics, vol. 80, 35-62.
- Granger, C.W.J, Joyeux, R. (1980), An Introduction to Long-memory Time Series and Fractional Differencing, Journal of Time Series Analysis, vol. 1, 15-29.
- Granger, C.W.J. (1980), Long Memory Relationships and the Aggregation of Dynamic Models, Journal of Econometrics, 14, 227-238.
- Haldrup, N. (1994), The Asymptotics of Single-Equation Cointegration Regressions with I(1) and I(2) Variables, Journal of Econometrics, vol. 63, 153-181.
- Hendry, D. F. (1993), Econometrics: Alchemy or Science? Essays in Econometric Methodology, Blcakwell, Oxford UK, Cambridge USA.
- Hosking, J. R. M. (1981), Fractional Differencing, Biometrika, vol. 68, 165-176.
- Koop, G., Ley, E., Osiewalski, J., Steel, M. F. J. (1997), Bayesian Analysis of Long Memory and Persitence Using ARFIMA Models, Journal of Econometrics, vol. 76, 149-169.
- Marmol, F. (1996), Nonsense Regressions Between Integrated Processes of Different Orders, Oxford Bulletin of Econometrics and Statistics, vol. 58, 525-536.
- Phillips, P. C. B. (1986), Understanding Spurious Regressions in Econometrics, Journal of Econometrics, 33, 311-340.
- Piłatowska, M. (2000), Testing for Fractional Integration in Foreign Exchange Rates, in: Dynamic Econometric Models, vol. 4, Wydawnictwo UMK, Toruń.
- Piłatowska, M. (2003), Skutki nadmiernego i niewystarczającego różnicowania procesów ekonomicznych. Analiza symulacyjna (Effects of Underdifferencing and Overdifferencing. Simulation Analysis), Przegląd Statystyczny (Statistical Survey), z. 1, 59-74.
- Yule, G. U. (1926), Why Do We Sometimes Get Nonsense-Correlations Between Time-Series? - A Study in Sampling and the Nature of Time-Series, Journal of the Royal Statistical Society, vol. 89, s. 1-64, reprint in: Darnell, A. C. (1994), The History of Econometrics, vol. I, Edward Egar Publishing Limited, 217-280.
- Zieliński, Z. (1984), Zmienność w czasie strukturalnych parametrów modelu ekonometrycznego (Time Variablility of Structural Parameters in Econometric Model), Przegląd Statystyczny (Statistical Survey), z. 1/2.
- Zieliński, Z. (1986), O podstawowych własnościach poznawczych jednorównaniowego liniowego modelu ekonometrycznego (About the Fundamental Cognitive Properties of Linear Econometric Model) , Acta Universitatis Nicolai Copernici, Ekonomia XIV, z. 170.
- Zieliński, Z. (2002), Analiza ekonomicznych procesów stochastycznych. Pisma wybrane (Analysis of economic stochastic processes. Selected Writings), Wydawnictwo UMK, Toruń.
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Bibliografia
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