Marmol, FrancescReboredo, Juan C.Universidad Carlos III de Madrid. Departamento de Estadística2011-03-292011-03-291998-06https://hdl.handle.net/10016/10611The 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.application/octet-streamapplication/octet-streamapplication/pdfengAtribución-NoComercial-SinDerivadas 3.0 EspañaNear observational equivalenceFractional integration and cointegrationDurbin-Watson statisticworking paperEstadísticaopen access