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Near Observational Equivalence and Fractionally Integrated Processes
Author(s) -
Marmol Francesc,
Reboredo Juan C.
Publication year - 1999
Publication title -
oxford bulletin of economics and statistics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.131
H-Index - 73
eISSN - 1468-0084
pISSN - 0305-9049
DOI - 10.1111/1468-0084.00129
Subject(s) - statistic , equivalence (formal languages) , observational equivalence , monte carlo method , econometrics , mathematics , watson , sample (material) , statistical physics , statistics , computer science , physics , thermodynamics , discrete mathematics , natural language processing
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.