Near Observational Equivalence and Fractionally Integrated Processes

Francesc Marmol and Juan Reboredo

Oxford Bulletin of Economics and Statistics, 1999, vol. 61, issue 2, 283-290

Abstract: The aim of this paper is to study the presence of nearly observationally equivalence problems in fractionally integrated processes. In order to illustrate our results, by means of a Monte Carlo study, we analyze the finite sample behaviour of the usual Durbin‐Watson statistic in a regression between two independent nonstationary fractionally integrated processes with MA(1) innovations.

Date: 1999
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https://doi.org/10.1111/1468-0084.00129

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Working Paper: Near observational equivalence and fractionally integrated processes (1998)
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