Evaluating measures of dependence for linearly generated nonlinear time series along with spurious correlation
C Agiakloglou, A Bera, E Deligiannakis - Journal of Economics and …, 2022 - Springer
The issue of determining dependence between two series is typically one of the most
important aspects in any quantitative analysis. This study, using a Monte Carlo analysis …
important aspects in any quantitative analysis. This study, using a Monte Carlo analysis …
Dealing with serially correlated errors in the context of spurious regression for two independent stationary AR (1) processes
C Agiakloglou, C Agiropoulos - Applied Economics Letters, 2022 - Taylor & Francis
Serially correlated errors are most likely to appear in regression analysis when time-series
data are used either as a true symptom of autocorrelation or as an indication of a false …
data are used either as a true symptom of autocorrelation or as an indication of a false …
[PDF][PDF] Is Spurious Regression an Issue for two independent stationary AR (1) processes?
C Agiakloglou, C Agiropoulos - 2017 - ucm.es
▪ Spurious regression is linked to serially correlated errors.▪ Granger and Newbold (1974)
pointed out that along with the large t-values strong evidence of serially correlated errors will …
pointed out that along with the large t-values strong evidence of serially correlated errors will …