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Anotace knihy

The reappraisal of the spurious regression in the mid-seventies (Granger and Newbold, 1974) deeply transformed macroeconometrics; modern empirical applications inherited much of the knowledge that has been spawned by the research program in spurious regression. The phenomenon occurs in Least Squares for a wide range of Data Generating Processes, such as driftless unit roots, unit roots with drift, long memory, trend and broken-trend stationarity. Indeed, spurious regressions have played a fundamental role in the building of modern time series econometrics and have revolutionized many of the procedures used in applied macroeconomics. Spin-offs from this research range from unit-root tests to cointegration and error-correction models. This book provides an overview of results about spurious regression, pulled from disperse sources, and explains their implications. This work should prove useful to researchers in statistics, time-series econometrics and applied economics.

Parametry knihy

Zařazení knihy Knihy v angličtině Economics, finance, business & management Economics

• Plný název: Spurious Regression in Time-Series Econometrics
• Podnázev: A brief survey
• Autor: Daniel Ventosa-Santaularia
• Jazyk: Angličtina
• Vazba: Brožovaná
• Počet stran: 164
• EAN: 9783639215793
• ISBN: 3639215796
• ID: 06829460
• Nakladatelství: VDM Verlag
• Hmotnost: 249 g
• Rozměry: 229 × 152 × 10 mm
• Datum vydání: 13. November 2009

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