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Document type:
Masterarbeit
Author(s):
Bednorz, Nico
Title:
Spurious regression and cointegration of unit-root time series
Abstract:
Given two independent but integrated time series, classical linear regression models overestimate the true value of R^2 and tend to produce statistically significant regression coefficients. This could lead the researcher to assume he found evidence of a genuine relationship. This phenomenon, called spurious regression, still persists in modern academic work, although first words of caution in relating nonstationary processes were expressed more than a century ago. Early research, starting from th...    »
Supervisor:
Prof. Dr. Matthias Scherer
Advisor:
Prof. Dr. Matthias Scherer
Year:
2017
Language:
en
University:
Technische Universität München
Faculty:
Fakultät für Mathematik
TUM Institution:
Lehrstuhl für Finanzmathematik
Commencing Date:
15.03.2017
End of processing:
14.10.2017
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