Near Observational Equivalence and Fractionally Integrated Processes
研究分数积分过程中的近观测等价性问题，通过蒙特卡洛模拟分析两个独立非平稳分数积分过程回归中Durbin-Watson统计量的有限样本表现。
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.