Publication:
Near observational equivalence and fractionally integrated processes

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URI: https://hdl.handle.net/10016/10611
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ws9838.pdf (406.33 KB)
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1998-06
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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.
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Near observational equivalence, Fractional integration and cointegration, Durbin-Watson statistic
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DES - Working Papers. Statistics and Econometrics. WS