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
Subjects:	ARCH Nonsensical regressions Data generating process Stationary and non-stationary series Monte carlo analysis D12 C81 C22 C22 D12 Stationary and non-stationary series ARCH Nonsensical regressions Data generating process C81 Monte carlo analysis
Online Access:	Fulltext
Database:	Elsevier:ScienceDirect:Open Access ScienceDirect Open Access Titles Directory of Open Access Journals Database information Databases - DBIS