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Please use this identifier to cite or link to this item:
http://hdl.handle.net/10016/10611
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| Title: | Near observational equivalence and fractionally integrated processes |
| Author(s): | Marmol, Francesc
Reboredo, Juan C. |
| Publisher: | Universidad Carlos III de Madrid. Departamento de Estadística |
| Issued date: | Jun-1998 |
| URI: | http://hdl.handle.net/10016/10611 |
| 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. |
| Serie / Nº.: | UC3M Working papers. Statistics and Econometrics
98-38 |
| Keywords: | Near observational equivalence
Fractional integration and cointegration
Durbin-Watson statistic |
| Appears in Collections: | DES - Working Papers. Statistics and Econometrics. WS
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