Near observational equivalence and fractionally integrated processes

Authors
Marmol, F Reboredo, JC
Citation
F. Marmol et Jc. Reboredo, Near observational equivalence and fractionally integrated processes, OX B ECON S, 61(2), 1999, pp. 283
Citations number
16
Categorie Soggetti
Economics
Journal title
OXFORD BULLETIN OF ECONOMICS AND STATISTICS
ISSN journal
03059049 → ACNP
Volume
61
Issue
2
Year of publication
1999
Database
ISI
SICI code
0305-9049(199905)61:2<283:NOEAFI>2.0.ZU;2-Q
Abstract
The aim of this paper is to study the presence of nearly observationally eq uivalence problems in fractionally integrated processes. In order to illust rate our results, by means of a Monte Carlo study, we analyze the finite sa mple behaviour of the usual Durbin-Watson statistic in a regression between two independent nonstationary fractionally integrated processes with MA(I) innovations.