Authors: Dittmann, Ingolf
Title: Error Correction Models for Fractionally Cointegrated Time Series
Language (ISO): en
Abstract: This note provides a proof of Granger's (1986) error correction model for fractionally cointegrated variables and points out a necessary assumption that has not been notedbefore. Moreover, a simpler, alternative error correction model is proposed which can be employed to estimate fractionally cointegrated systems in three steps.
Subject Headings: error correction model
fractional cointegration
Granger Representation Theorem
Issue Date: 2000
Provenance: Universitätsbibliothek Dortmund
Appears in Collections:Sonderforschungsbereich (SFB) 475

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