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Near Observational Equivalence and Fractionally Integrated Processes

Author

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  • Francesc Marmol
  • Juan C. Reboredo

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 analyze the finite sample behaviour of the usual Durbin‐Watson statistic in a regression between two independent nonstationary fractionally integrated processes with MA(1) innovations.

Suggested Citation

  • Francesc Marmol & Juan C. Reboredo, 1999. "Near Observational Equivalence and Fractionally Integrated Processes," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 61(2), pages 283-290, May.
    • Handle: RePEc:bla:obuest:v:61:y:1999:i:2:p:283-290
    DOI: 10.1111/1468-0084.00129
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