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...

Full description

Saved in:
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
Citations: Items that cite this one
Online Access:Get full text
Tags: Add Tag
No Tags, Be the first to tag this record!
cited_by cdi_FETCH-LOGICAL-c4809-a14eefe049e1202a3acce56396e12d8decf41b4935a03ad94efd0fce1a73100c3
cites
container_end_page 290
container_issue 2
container_start_page 283
container_title Oxford bulletin of economics and statistics
container_volume 61
creator Marmol, Francesc
Reboredo, Juan C.
description 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.
doi_str_mv 10.1111/1468-0084.00129
format article
fullrecord <record><control><sourceid>proquest_cross</sourceid><recordid>TN_cdi_proquest_miscellaneous_38768220</recordid><sourceformat>XML</sourceformat><sourcesystem>PC</sourcesystem><sourcerecordid>38768220</sourcerecordid><originalsourceid>FETCH-LOGICAL-c4809-a14eefe049e1202a3acce56396e12d8decf41b4935a03ad94efd0fce1a73100c3</originalsourceid><addsrcrecordid>eNqFkN9LwzAQx4MoOH88-1oUfKtemrRNHnVu6pBNURF8Cbf0KtXauqSb7r-3s-KDIOblSO7zOS5fxvY4HPH2HHOZqBBAySMAHuk11vt5WWc9EBCHGqTeZFveP8OKiXWPnY0JXTCZenILbIq6wjIYzObFAkuqLAVYZcHQoe1a5TK4rBp6cthQFly72pL35HfYRo6lp93vus3uh4O7_kV4NTm_7J9chVYq0CFySZRTuwTxCCIUaC3FidBJe89URjaXfCq1iBEEZlpSnkFuiWMqOIAV2-ywm_vm6tmcfGNeC2-pLLGieu6NUGmioghacP8X-FzPXfsBb7iWkYi5Ui108CeUKKEiHqu4pY47yrrae0e5eXPFK7ql4WBWwZtVzGYVs_kKvjVkZ7wXJS3_w83kdHDbaWGnFb6hjx8N3YtJUpHG5mF8blT_dvR4k47MWHwCKYyS-Q</addsrcrecordid><sourcetype>Aggregation Database</sourcetype><iscdi>true</iscdi><recordtype>article</recordtype><pqid>1683821585</pqid></control><display><type>article</type><title>Near Observational Equivalence and Fractionally Integrated Processes</title><source>EconLit s plnými texty</source><source>International Bibliography of the Social Sciences (IBSS)</source><source>Wiley</source><source>BSC - Ebsco (Business Source Ultimate)</source><creator>Marmol, Francesc ; Reboredo, Juan C.</creator><creatorcontrib>Marmol, Francesc ; Reboredo, Juan C.</creatorcontrib><description>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.</description><identifier>ISSN: 0305-9049</identifier><identifier>EISSN: 1468-0084</identifier><identifier>DOI: 10.1111/1468-0084.00129</identifier><language>eng</language><publisher>Oxford, UK and Boston, USA: Blackwell Publishers Ltd</publisher><subject>Cointegration analysis ; Economic models ; Equivalence ; Monte Carlo simulation ; Regression analysis ; Samples ; Statistics ; Studies</subject><ispartof>Oxford bulletin of economics and statistics, 1999-05, Vol.61 (2), p.283-290</ispartof><rights>Blackwell Publishers Ltd 1999</rights><rights>Copyright Blackwell Publishers May 1999</rights><lds50>peer_reviewed</lds50><oa>free_for_read</oa><woscitedreferencessubscribed>false</woscitedreferencessubscribed><citedby>FETCH-LOGICAL-c4809-a14eefe049e1202a3acce56396e12d8decf41b4935a03ad94efd0fce1a73100c3</citedby></display><links><openurl>$$Topenurl_article</openurl><openurlfulltext>$$Topenurlfull_article</openurlfulltext><thumbnail>$$Tsyndetics_thumb_exl</thumbnail><link.rule.ids>314,780,784,27924,27925,33223,33224</link.rule.ids></links><search><creatorcontrib>Marmol, Francesc</creatorcontrib><creatorcontrib>Reboredo, Juan C.</creatorcontrib><title>Near Observational Equivalence and Fractionally Integrated Processes</title><title>Oxford bulletin of economics and statistics</title><description>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.</description><subject>Cointegration analysis</subject><subject>Economic models</subject><subject>Equivalence</subject><subject>Monte Carlo simulation</subject><subject>Regression analysis</subject><subject>Samples</subject><subject>Statistics</subject><subject>Studies</subject><issn>0305-9049</issn><issn>1468-0084</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>1999</creationdate><recordtype>article</recordtype><sourceid>8BJ</sourceid><recordid>eNqFkN9LwzAQx4MoOH88-1oUfKtemrRNHnVu6pBNURF8Cbf0KtXauqSb7r-3s-KDIOblSO7zOS5fxvY4HPH2HHOZqBBAySMAHuk11vt5WWc9EBCHGqTeZFveP8OKiXWPnY0JXTCZenILbIq6wjIYzObFAkuqLAVYZcHQoe1a5TK4rBp6cthQFly72pL35HfYRo6lp93vus3uh4O7_kV4NTm_7J9chVYq0CFySZRTuwTxCCIUaC3FidBJe89URjaXfCq1iBEEZlpSnkFuiWMqOIAV2-ywm_vm6tmcfGNeC2-pLLGieu6NUGmioghacP8X-FzPXfsBb7iWkYi5Ui108CeUKKEiHqu4pY47yrrae0e5eXPFK7ql4WBWwZtVzGYVs_kKvjVkZ7wXJS3_w83kdHDbaWGnFb6hjx8N3YtJUpHG5mF8blT_dvR4k47MWHwCKYyS-Q</recordid><startdate>199905</startdate><enddate>199905</enddate><creator>Marmol, Francesc</creator><creator>Reboredo, Juan C.</creator><general>Blackwell Publishers Ltd</general><general>Basil Blackwell</general><general>Blackwell Publishing Ltd</general><scope>BSCLL</scope><scope>AAYXX</scope><scope>CITATION</scope><scope>JILTI</scope><scope>K30</scope><scope>PAAUG</scope><scope>PAWHS</scope><scope>PAWZZ</scope><scope>PAXOH</scope><scope>PBHAV</scope><scope>PBQSW</scope><scope>PBYQZ</scope><scope>PCIWU</scope><scope>PCMID</scope><scope>PCZJX</scope><scope>PDGRG</scope><scope>PDWWI</scope><scope>PETMR</scope><scope>PFVGT</scope><scope>PGXDX</scope><scope>PIHIL</scope><scope>PISVA</scope><scope>PJCTQ</scope><scope>PJTMS</scope><scope>PLCHJ</scope><scope>PMHAD</scope><scope>PNQDJ</scope><scope>POUND</scope><scope>PPLAD</scope><scope>PQAPC</scope><scope>PQCAN</scope><scope>PQCMW</scope><scope>PQEME</scope><scope>PQHKH</scope><scope>PQMID</scope><scope>PQNCT</scope><scope>PQNET</scope><scope>PQSCT</scope><scope>PQSET</scope><scope>PSVJG</scope><scope>PVMQY</scope><scope>PZGFC</scope><scope>8BJ</scope><scope>FQK</scope><scope>JBE</scope></search><sort><creationdate>199905</creationdate><title>Near Observational Equivalence and Fractionally Integrated Processes</title><author>Marmol, Francesc ; Reboredo, Juan C.</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-c4809-a14eefe049e1202a3acce56396e12d8decf41b4935a03ad94efd0fce1a73100c3</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>1999</creationdate><topic>Cointegration analysis</topic><topic>Economic models</topic><topic>Equivalence</topic><topic>Monte Carlo simulation</topic><topic>Regression analysis</topic><topic>Samples</topic><topic>Statistics</topic><topic>Studies</topic><toplevel>peer_reviewed</toplevel><toplevel>online_resources</toplevel><creatorcontrib>Marmol, Francesc</creatorcontrib><creatorcontrib>Reboredo, Juan C.</creatorcontrib><collection>Istex</collection><collection>CrossRef</collection><collection>Periodicals Index Online Segment 32</collection><collection>Periodicals Index Online</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - West</collection><collection>Primary Sources Access (Plan D) - International</collection><collection>Primary Sources Access &amp; Build (Plan A) - MEA</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - Midwest</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - Northeast</collection><collection>Primary Sources Access (Plan D) - Southeast</collection><collection>Primary Sources Access (Plan D) - North Central</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - Southeast</collection><collection>Primary Sources Access (Plan D) - South Central</collection><collection>Primary Sources Access &amp; Build (Plan A) - UK / I</collection><collection>Primary Sources Access (Plan D) - Canada</collection><collection>Primary Sources Access (Plan D) - EMEALA</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - North Central</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - South Central</collection><collection>Primary Sources Access &amp; Build (Plan A) - International</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - International</collection><collection>Primary Sources Access (Plan D) - West</collection><collection>Periodicals Index Online Segments 1-50</collection><collection>Primary Sources Access (Plan D) - APAC</collection><collection>Primary Sources Access (Plan D) - Midwest</collection><collection>Primary Sources Access (Plan D) - MEA</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - Canada</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - UK / I</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - EMEALA</collection><collection>Primary Sources Access &amp; Build (Plan A) - APAC</collection><collection>Primary Sources Access &amp; Build (Plan A) - Canada</collection><collection>Primary Sources Access &amp; Build (Plan A) - West</collection><collection>Primary Sources Access &amp; Build (Plan A) - EMEALA</collection><collection>Primary Sources Access (Plan D) - Northeast</collection><collection>Primary Sources Access &amp; Build (Plan A) - Midwest</collection><collection>Primary Sources Access &amp; Build (Plan A) - North Central</collection><collection>Primary Sources Access &amp; Build (Plan A) - Northeast</collection><collection>Primary Sources Access &amp; Build (Plan A) - South Central</collection><collection>Primary Sources Access &amp; Build (Plan A) - Southeast</collection><collection>Primary Sources Access (Plan D) - UK / I</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - APAC</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - MEA</collection><collection>International Bibliography of the Social Sciences (IBSS)</collection><collection>International Bibliography of the Social Sciences</collection><collection>International Bibliography of the Social Sciences</collection><jtitle>Oxford bulletin of economics and statistics</jtitle></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext</fulltext></delivery><addata><au>Marmol, Francesc</au><au>Reboredo, Juan C.</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>Near Observational Equivalence and Fractionally Integrated Processes</atitle><jtitle>Oxford bulletin of economics and statistics</jtitle><date>1999-05</date><risdate>1999</risdate><volume>61</volume><issue>2</issue><spage>283</spage><epage>290</epage><pages>283-290</pages><issn>0305-9049</issn><eissn>1468-0084</eissn><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.</abstract><cop>Oxford, UK and Boston, USA</cop><pub>Blackwell Publishers Ltd</pub><doi>10.1111/1468-0084.00129</doi><tpages>8</tpages><oa>free_for_read</oa></addata></record>
fulltext fulltext
identifier ISSN: 0305-9049
ispartof Oxford bulletin of economics and statistics, 1999-05, Vol.61 (2), p.283-290
issn 0305-9049
1468-0084
language eng
recordid cdi_proquest_miscellaneous_38768220
source EconLit s plnými texty; International Bibliography of the Social Sciences (IBSS); Wiley; BSC - Ebsco (Business Source Ultimate)
subjects Cointegration analysis
Economic models
Equivalence
Monte Carlo simulation
Regression analysis
Samples
Statistics
Studies
title Near Observational Equivalence and Fractionally Integrated Processes
url http://sfxeu10.hosted.exlibrisgroup.com/loughborough?ctx_ver=Z39.88-2004&ctx_enc=info:ofi/enc:UTF-8&ctx_tim=2025-01-07T17%3A18%3A56IST&url_ver=Z39.88-2004&url_ctx_fmt=infofi/fmt:kev:mtx:ctx&rfr_id=info:sid/primo.exlibrisgroup.com:primo3-Article-proquest_cross&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.genre=article&rft.atitle=Near%20Observational%20Equivalence%20and%20Fractionally%20Integrated%20Processes&rft.jtitle=Oxford%20bulletin%20of%20economics%20and%20statistics&rft.au=Marmol,%20Francesc&rft.date=1999-05&rft.volume=61&rft.issue=2&rft.spage=283&rft.epage=290&rft.pages=283-290&rft.issn=0305-9049&rft.eissn=1468-0084&rft_id=info:doi/10.1111/1468-0084.00129&rft_dat=%3Cproquest_cross%3E38768220%3C/proquest_cross%3E%3Cgrp_id%3Ecdi_FETCH-LOGICAL-c4809-a14eefe049e1202a3acce56396e12d8decf41b4935a03ad94efd0fce1a73100c3%3C/grp_id%3E%3Coa%3E%3C/oa%3E%3Curl%3E%3C/url%3E&rft_id=info:oai/&rft_pqid=1683821585&rft_id=info:pmid/&rfr_iscdi=true