Publication: Near observational equivalence and fractionally integrated processes
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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