Near Observational Equivalence and Fractionally Integrated Processes

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...

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Bibliographic Details
Published in:Oxford bulletin of economics and statistics 1999-05, Vol.61 (2), p.283-290
Main Authors: Marmol, Francesc, Reboredo, Juan C.
Format: Article
Language:English
Subjects:
Cointegration analysis
Economic models
Equivalence
Monte Carlo simulation
Regression analysis
Samples
Statistics
Studies
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Summary: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.
ISSN:0305-9049
1468-0084
DOI:10.1111/1468-0084.00129