The spurious regression of AR(pp) infinite-variance sequence in the presence of structural breaks


This paper analyzes a spurious regression involving AR(p) infinite-variance processes in the presence of structural breaks by least squares using asymptotic theory. It is found that when regressing two independent infinite-variance sequence with breaks in the level and slope of trend, no matter whether the breaks occur at different points or not, the t… (More)
DOI: 10.1016/j.csda.2013.04.011

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