Near observational equivalence and fractionally integrated processes

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Show simple item record Marmol, Francesc Reboredo, Juan C.
dc.contributor.editor Universidad Carlos III de Madrid. Departamento de Estadística 2011-03-29T14:54:14Z 2011-03-29T14:54:14Z 1998-06
dc.description.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.
dc.format.mimetype application/octet-stream
dc.format.mimetype application/octet-stream
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dc.language.iso eng
dc.relation.ispartofseries UC3M Working papers. Statistics and Econometrics
dc.relation.ispartofseries 98-38
dc.rights Atribución-NoComercial-SinDerivadas 3.0 España
dc.subject.other Near observational equivalence
dc.subject.other Fractional integration and cointegration
dc.subject.other Durbin-Watson statistic
dc.title Near observational equivalence and fractionally integrated processes
dc.type workingPaper
dc.subject.eciencia Estadística
dc.rights.accessRights openAccess
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