Spurious regressions with high-order models: A reconsideration
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DOI: 10.1016/j.econlet.2018.04.007
Abstract: Abstract This paper reconsiders spurious regressions with high-order processes by using a balanced regression approach. Results show that if the balanced orders adopted in a regression model are greater than the truly largest lag of… read more here.
Keywords: high order; regressions high; spurious regressions; models reconsideration ... See more keywords