Econometric References

Bair, Eric, Trevor Hastie, Debashis Paul, and Robert Tibshirani, 2006. Prediction by Supervised Principal Components , JASA 101 ( 473) 11-137. www-stat.stanford.edu/~hastie/Papers/spca.pdf
Ferson, W., S. Sarkissian and T Simin, 2003. Ferson, et al., 2003. Spurious regressions in financial economics, Journal of Finance, 58(4), 1393-1413; http://www.cass.city.ac.uk/faculty/g.urga/files/FersonEtAl2003.pdf http://climateaudit.files.wordpress.com/2008/02/ferson.jf03.pdf
Ferson, W., S. Sarkissian and T Simin, 2003b. Is Stock return predictability spurious?, J of Inv Management 4(3), 1-10. http://timsimin.net/Papers/PINT.PDF
Deng, Ai, 2005. Understanding spurious regression in financial economics. econ.bu.edu/perron/seminar-papers/spurious_1.pdf http://climateaudit.files.wordpress.com/2008/02/deng.2003.pdf
Durlauf. Steven N. and P. Phillips [1988], Trends Versus Random Walks in Time Series Analysis. Econometrica, 56(6) cowles.econ.yale.edu/P/cp/p07a/p0744.p
Greene, Clinton A 2002, I am not, nor have I ever been a member of a data-mining discipline, Journal of Economic Methodology 7:2, 217-230 http://climateaudit.files.wordpress.com/2008/02/datamining.greene.pdf
Granger, C. and Newbold, P. (1974) ‘Spurious regressions in econometrics’, Journal of Econometrics, 2, 111-120. http://climateaudit.files.wordpress.com/2005/08/granger.1974.pdf
Hendry, D.F. 1980. Econometrics “- Alchemy or Science? Economica 47, 387-406. http://data.climateaudit.org/pdf/hendry.1980.pdf
Keynes, J.M. (1940). On a method of statistical business-cycle research: a comment. Economic Journal, 50, pp.154-156 http://climateaudit.files.wordpress.com/2008/02/keynes.1940.pdf
Phillips, P. [1986], Understanding Spurious Regressions in Econometrics. Journal of Econometrics, 33 cowles.econ.yale.edu/P/cp/p06b/p0667.pdf
Phillips, P. [1988], Regression Theory for Near-Integrated Time Series. Econometrica, 56(5), 1988, cowles.econ.yale.edu/P/cp/p07a/p0711.pdf
Phillips, P. and J.Y. Park, [1988], Statistical Inference in Regressions with Integrated Processes: Part 1. Econometric Theory, 4. cowles.econ.yale.edu/P/cp/p07a/p0715.pdf
Phillips, P. and J.Y. Park, [1989], Statistical Inference in Regressions with Integrated Processes: Part 2. Econometric Theory, 5, 1989 cowles.econ.yale.edu/P/cp/p07a/p0722.pdf
Phillips, P. [1998], New Tools for Understanding Spurious Regressions. Econometrica, 66(6), 1998 cowles.econ.yale.edu/P/cp/p09b/p0966.pdf
Yule, G. U. 1926. Why do we sometimes get nonsense correlations between Time Series? JRSS 89, 1-63. http://climateaudit.files.wordpress.com/2008/02/yule.1926.jrss.pdf

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