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Spurious Regression and Generalized Least Square

Published online by Cambridge University Press:  11 February 2009

Diego Lubian
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Abstract

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Type
Solutions
Information
Econometric Theory , Volume 12 , Issue 1 , March 1996 , pp. 204 - 209
Copyright
Copyright © Cambridge University Press 1996

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References

REFERENCES

Phillips, P.C.B. (1986) Understanding spurious regressions in econometrics. Journal of Econometrics 33, 311–340.CrossRefGoogle Scholar
Phillips, P.C.B. & Durlauf, S. (1986) Multiple time series regression with integrated processes. Review of Economic Studies 53, 473–496.CrossRefGoogle Scholar
Phillips, P.C.B. & Solo, V. (1992) Asymptotics for linear processes, Annals of Statistics 20, 971–1001.Google Scholar