Add to ORKGIt is a well-known fact that, in linear regressions involving the levels of integeated processes spuriously related, the Durbin-Watson statistic converges in probability to zero. This, in turn, implies that this statistic can provide an useful testing procedure against the presence of nonsense relationships. Marmol (1997) extends this result to the case of spurious regressions among nonstationary fractionally integrated processes. The aim of this paper is to provide a theoretical overview of these asymptotic results as well as Monte Carlo evidence on the behavior of the Durbin-Watson test in small samples
This paper reports on the result of a Monte Carlo study. The latter investigates the performance of ...
International audienceThe purpose of this paper is to provide a sharp analysis on the asymptotic beh...
In this paper we evaluate the performance of three methods for testing the existence of a unit root ...
It is a well-known fact that, in linear regressions involving the levels of integeated processes spu...
It is well-known that a linear regression among the levels of independent highly persistent processe...
The aim of this paper is to provide a simulation-based analysis on the bahavior of the Durbin-Watson...
A local limit theorem is proved for sample covariances of nonstationary time series and integrable f...
The objective of this paper is to study the effects of spurious detrending of a nonstationary fracti...
This paper provides an analytical study of spurious regressions involving the levels of economic tim...
This paper develops an analytical study of the asymptotic distributions obtained when we run linear ...
34 pages, 2 figures.The purpose of this paper is to investigate the asymptotic behavior of the Durbi...
Spurious correlations occur when two independent time series are found to be correlated according to...
This article studies spurious regression in the multivariate case for any finite number of fractiona...
We study two Durbin-Watson type tests for serial correlation of errors in regression models when obs...
The aim of this paper is to study the presence of nearly observationally equivalence problems in fr...
This paper reports on the result of a Monte Carlo study. The latter investigates the performance of ...
International audienceThe purpose of this paper is to provide a sharp analysis on the asymptotic beh...
In this paper we evaluate the performance of three methods for testing the existence of a unit root ...
It is a well-known fact that, in linear regressions involving the levels of integeated processes spu...
It is well-known that a linear regression among the levels of independent highly persistent processe...
The aim of this paper is to provide a simulation-based analysis on the bahavior of the Durbin-Watson...
A local limit theorem is proved for sample covariances of nonstationary time series and integrable f...
The objective of this paper is to study the effects of spurious detrending of a nonstationary fracti...
This paper provides an analytical study of spurious regressions involving the levels of economic tim...
This paper develops an analytical study of the asymptotic distributions obtained when we run linear ...
34 pages, 2 figures.The purpose of this paper is to investigate the asymptotic behavior of the Durbi...
Spurious correlations occur when two independent time series are found to be correlated according to...
This article studies spurious regression in the multivariate case for any finite number of fractiona...
We study two Durbin-Watson type tests for serial correlation of errors in regression models when obs...
The aim of this paper is to study the presence of nearly observationally equivalence problems in fr...
This paper reports on the result of a Monte Carlo study. The latter investigates the performance of ...
International audienceThe purpose of this paper is to provide a sharp analysis on the asymptotic beh...
In this paper we evaluate the performance of three methods for testing the existence of a unit root ...