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Nelson, Charles R.; Kang, Heejoon

Spurious periodicity in inappropriately detrended time series. (English) Zbl 0468.62099

Econometrica 49, 741-751 (1981).
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Cited in 25 Documents

MSC:

62P20 Applications of statistics to economics
91B84 Economic time series analysis
62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)

Keywords:

spurious periodicity; detrended time series; expected sample autocorrelation function
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\textit{C. R. Nelson} and \textit{H. Kang}, Econometrica 49, 741--751 (1981; Zbl 0468.62099)
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