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Near observational equivalence and fractionally integrated processes

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dc.affiliation.dptoUC3M. Departamento de Estadísticaes
dc.contributor.authorMarmol, Francesc
dc.contributor.authorReboredo, Juan C.
dc.contributor.editorUniversidad Carlos III de Madrid. Departamento de Estadísticaes
dc.date.accessioned2011-03-29T14:54:14Z
dc.date.available2011-03-29T14:54:14Z
dc.date.issued1998-06
dc.description.abstractThe 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.es
dc.format.mimetypeapplication/octet-stream
dc.format.mimetypeapplication/octet-stream
dc.format.mimetypeapplication/pdf
dc.identifier.urihttps://hdl.handle.net/10016/10611
dc.language.isoenges
dc.relation.ispartofseriesUC3M Working papers. Statistics and Econometricses
dc.relation.ispartofseries98-38es
dc.rightsAtribución-NoComercial-SinDerivadas 3.0 España
dc.rights.accessRightsopen access
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subject.ecienciaEstadísticaes
dc.subject.otherNear observational equivalencees
dc.subject.otherFractional integration and cointegrationes
dc.subject.otherDurbin-Watson statistices
dc.titleNear observational equivalence and fractionally integrated processeses
dc.typeworking paper*
dspace.entity.typePublication
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