The impact of the presence of autoregressive conditional heteroscedasticity (ARCH) effects on spurious regressions
Spurious (nonsensical) regressions with independent random walks or even with stationary series are well known. However, how their spuriosity is affected by nonlinearity in series has been scantly addressed. In this study, I examine, using Monte Carlo analysis, the effect of autoregressive condition...
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| Format: | Article |
| Language: | English |
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Elsevier
2020-03-01
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| Series: | Scientific African |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S246822761930821X |