Spurious Multivariate Regressions Under Fractionally Integrated Processes
Published in Communications in Statistics - Theory and Methods, 2022
Recommended citation: Ventosa-Santaulària, D., Vera-Valdés, J.E., Lasak, K., and Ramírez-Vargas, R. (2022). "Spurious Multivariate Regressions Under Fractionally Integrated Processes." Communications in Statistics - Theory and Methods. 51(7). https://vbn.aau.dk/da/publications/spurious-multivariate-regressions-under-fractionally-integrated-p
This article studies spurious regression in the multivariate case for any finite number of fractionally integrated variables, stationary or not.We prove that asymptotic behavior from the most persistent regressor spreads to correlated regressors. Thus, the risk of uncovering spurious results increases as more regressors are included.