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, we examine, using Monte Carlo analysis, the effect of autoregressive conditio...

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Bibliographic details
Volume: 8
Main Author: Chekenya, Nixon S
Dzingirai, Canicio
Format: Journal Article
Language: English
Place of publication: Elsevier B.V 01.07.2020
Elsevier
published in: Scientific African Vol. 8; p. e00382
Data of publication: July 2020
ISSN: 2468-2276
2468-2276
EISSN: 2468-2276
Subjects:
D12
C81
C22
C22
D12
C81
Online Access: Fulltext
Database: ScienceDirect Open Access Titles
Elsevier:ScienceDirect:Open Access
DOAJ Directory of Open Access Journals - Not for CDI Discovery
Database information Databases - DBIS