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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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: | |
Online Access: |
Fulltext |
Database: | Elsevier:ScienceDirect:Open Access ScienceDirect Open Access Titles Directory of Open Access Journals Database information Databases - DBIS |