Near observational equivalence and fractionally integrated processes

Francesc Marmol and Juan Reboredo

DES - Working Papers. Statistics and Econometrics. WS from Universidad Carlos III de Madrid. Departamento de Estadística

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 analyse the finite sample behaviour of the usual Durbin-Watson statistic in a regression between two independent nonstationary fractionally integrated processes wiht MA(l) innovations.

Keywords: Near; observational; equivalence; Fractional; integration; and; cointegration; Durbin-Watson; statistic (search for similar items in EconPapers)
Date: 1998-06
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Journal Article: Near Observational Equivalence and Fractionally Integrated Processes (1999)
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Persistent link: https://EconPapers.repec.org/RePEc:cte:wsrepe:10611

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