Spurious regressions between I(1) processes with long memory errors

• 1 July 1997
• journal article
• Published by Wiley in Journal of Time Series Analysis
• Vol. 18  (4) , 341-354
• https://doi.org/10.1111/1467-9892.00054

Abstract

Keywords

• SPURIOUS REGRESSION
• LONG MEMORY PROCESSES
• FRACTIONAL BROWNIAN MOTION