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Is Stock Price Correlated with Oil Price? Spurious Regressions with Moderately Explosive Processes

Chen, Y; Tu, YD

Chen, Y (reprint author), Capital Univ Econ & Business, Beijing, Peoples R China.

OXFORD BULLETIN OF ECONOMICS AND STATISTICS, 2019; 81 (5): 1012

Abstract

This study explores the spurious effects in linear regressions with moderately explosive processes. Asymptotic results are developed for the least squ......

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