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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 DurbiThe 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.[+][-]