Error Correction Models for Fractionally Cointegrated Time Series

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Date

2000

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Publisher

Universitätsbibliothek Dortmund

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.

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Keywords

error correction model, fractional cointegration, Granger Representation Theorem

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