Near observational equivalence and fractionally integrated processes

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dc.contributor.author Marmol, Francesc
dc.contributor.author Reboredo, Juan C.
dc.contributor.editor Universidad Carlos III de Madrid. Departamento de Estadística
dc.date.accessioned 2011-03-29T14:54:14Z
dc.date.available 2011-03-29T14:54:14Z
dc.date.issued 1998-06
dc.identifier.uri http://hdl.handle.net/10016/10611
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
dc.format.mimetype application/pdf
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.rights.uri http://creativecommons.org/licenses/by-nc-nd/3.0/es/
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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