Score contribution per author:
α: calibrated so average coauthorship-adjusted count equals average raw count
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.