It is a well-known fact that, in linear regressions involving the levels of integeated processes spuriously related, the Durbin-Watson statistic converges in probability to zero. This, in turn, implies that this statistic can provide an useful testing procedure against the presence of nonsense relationships. Marmol (1997) extends this result to the case of spurious regressions among nonstationary fractionally integrated processes. The aim of this paper is to provide a theoretical overview of these asymptotic results as well as Monte Carlo evidence on the behavior of the Durbin-Watson test in small samples
