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 |
URI: | http://hdl.handle.net/2003/5004 http://dx.doi.org/10.17877/DE290R-15100 |
Issue Date: | 2000 |
Provenance: | Universitätsbibliothek Dortmund |
Appears in Collections: | Sonderforschungsbereich (SFB) 475 |
Files in This Item:
File | Description | Size | Format | |
---|---|---|---|---|
2000_02.pdf | DNB | 78.88 kB | Adobe PDF | View/Open |
tr02-00.ps | 372.98 kB | Postscript | View/Open |
This item is protected by original copyright |
This item is protected by original copyright rightsstatements.org