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2002 | 5 | 79--88
Tytuł artykułu

Nonsense Correlations between Time Series' - History of Simulation Studies for Integrated Processes

Autorzy
Warianty tytułu
Języki publikacji
EN
Abstrakty
EN
The purpose of this paper is to present the history of simulation studies for integrated processes starting with first experiment by Yule till the present experiments, and also to show by the author's own experiment the importance of the internal structure of processes for econometric model building as a way to avoid spurious correlation and spurious cointegration of processes.(fragment of text)
Rocznik
Tom
5
Strony
79--88
Opis fizyczny
Twórcy
  • Nicolaus Copernicus University in Toruń, Poland
Bibliografia
  • Banerjee, A., Dolado, J. J., Galbraith, J. W., Hendry, D. F. (1993), Co-integration, Error correction, and the Econometric Analysis of Non-stationary Data, Oxford University Press.
  • Darnell, A. C. (1994), (editor), The History of Econometrics, vol. I, Edward Elgar Publishing Company.
  • Entorf, H. (1997), Random walks with drifts: Nonsense regression and spurious fixed-effect estimation, Journal of Econometrics, vol. 80, pp. 287-296.
  • 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., Newbold, P. (1974), Spurious Regressions in Econometrics, Journal of Econometrics, no. 2, pp. 111-120.
  • Hendry, D. F., Morgan, M. S. (1995), The Foundations of Econometric Analysis, University Press, Cambridge.
  • Marmol, F. (1996), Nonsense Regressions Between Integrated Processes of Different Orders, Oxford Bulletin of Econometrics and Statistics, vol. 58, s. 525-536.
  • Phillips, P. C. B. (1986), Understanding Spurious Regressions in Econometrics, Journal of Econometrics, vol. 33, pp. 311-340.
  • 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, LXXXIX, January, pp. 1-64; in: Darnell A.,C. (1994), The History of Econometrics, Volume I, Edward Elgar Publishing Limited.
Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
bwmeta1.element.ekon-element-000171298359

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