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Spurious regressions with stationary processes around linear trends

Kim, Tae-hwan; Lee, Young-Sook; Newbold, Paul - In: Economics letters 83 (2004) 2, pp. 257-262

Persistent link: https://www.econbiz.de/10001991584

Spurious Regressions with Processes Around Linear Trends or Drifts

Kim, Tae-Hwan; Lee, Young-Sook; Newbold, Paul - 2004

In this paper we consider the situation where the deterministic components of the processes generating individual series are linear trends and the individual series are independent I(0) or I(1) processes. We show that when those time series are used in ordinary least square regression, the...

Persistent link: https://www.econbiz.de/10014076785

Spurious regressions with processes around linear trends or drifts

Kim, Tai-Hwan (contributor); Lee, Young-Sook (contributor); … - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001762063

SPURIOUS REGRESSIONS WITH PROCESSESAROUND LINEAR TRENDS OR DRIFTS

Kim, Tae-Hwan; Lee-Scheller, Young-Sook; Newbold, Paul - University <Nottingham> / Department of Economics - 2003

In this paper we consider the situation where the deterministiccomponents of the processes generating individual series are linear trendsand the individual series are independent I(0) or I(1) processes. We showthat when those time series are used in ordinary least squares regression,the...

Persistent link: https://www.econbiz.de/10005868905

Two-stage quantile regression when the first stage is based on quantile regression

Kim, Tae-hwan; Muller, Christophe - In: The econometrics journal 7 (2004) 1, pp. 218-231

Persistent link: https://www.econbiz.de/10002122077

VAR for VaR: measuring tail dependence using multivariate regression quantiles

White, Halbert; Kim, Tae-hwan; Manganelli, Simone - In: Journal of econometrics 187 (2015) 1, pp. 169-188

Persistent link: https://www.econbiz.de/10011498808

Quantile cointegration in the autoregressive distributed-lag modeling framework

Cho, Jin Seo; Kim, Tae-hwan; Shin, Yongcheol - In: Journal of econometrics 188 (2015) 1, pp. 281-300

Persistent link: https://www.econbiz.de/10011500352

Revisiting growth empirics based on IV panel quantile regression

Huo, Lijuan; Kim, Tae-hwan; Kim, Yunmi - In: Applied economics 47 (2015) 34/36, pp. 3859-3873

Persistent link: https://www.econbiz.de/10011294309

Two-stage quantile regression when the first stage is based on quantile regression

Kim, Tae-hwan (contributor); Muller, Christophe (contributor) - 2004 - [Elektronische Ressource], 1. ed.

Persistent link: https://www.econbiz.de/10002198695

Asymptotic and Bayesian confidence intervals for sharpe-style weights

Kim, Tae-hwan; White, Halbert; Stone, Douglas - In: Journal of financial econometrics : official journal of … 3 (2005) 3, pp. 315-343

Persistent link: https://www.econbiz.de/10002989025