Nonstationary regression models with a lagged dependent variable

Bibliography

• Billingsley , P. 1968 . Convergence of Probabiltiy Measures , New York : John Wiley .
   Google Scholar
• Box , G.E.P. and Jenkins , G.M. 1976 . Time Series Analysis: Forecasting and Control , San Fransisco : Hodlen-Day . revised edition
   Google Scholar
• Engle , R.F. and Granger , C.W.J. 1987 . Cointegration and error correction: representation, estimation and testing . Econometrica , 55 : 251 – 276 .
   Web of Science ®Google Scholar
• Granger , C.W.J. and Newbold , P. 1974 . Spurious regressions in econometrics . Journal of Econometrics , 2 : 111 – 120 .
   Google Scholar
• Phillips , P.C.B. 1986 . Understanding spurious regressins in econometrics . Journal of Econometrics , 33 : 311 – 340 .
   Web of Science ®Google Scholar
• Phillips , P.C.B. 1987 . Time series with a unit root . Econometrica , 55 : 277 – 301 .
   Web of Science ®Google Scholar
• Wirjanto , T.S. 1992a . On lagged dependent variable in a regression with I(1) processes , Waterloo , ON : University of Waterloo . Waterloo Economic Series working paper no. 9214
   Google Scholar
• Wirjanto , T.S. 1992a . On lagged dependent variable in a regression with I(1) processes: a technical note , Waterloo , ON : University of Waterloo . Waterloo Economic Series working paper no. 9222
   Google Scholar
• Yule , G.C. 1926 . Why do we sometimes get nonsense correlations between time series? . Journal of the Royal Statistical Sociery, B , 89 : 1 – 64 .
   Google Scholar