Error Correction Models for Fractionally Cointegrated Time Series

dc.contributor.author	Dittmann, Ingolf	de
dc.date.accessioned	2004-12-06T18:41:41Z
dc.date.available	2004-12-06T18:41:41Z
dc.date.issued	2000	de
dc.description.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.	en
dc.format.extent	381927 bytes
dc.format.extent	80776 bytes
dc.format.mimetype	application/pdf
dc.format.mimetype	application/postscript
dc.identifier.uri	http://hdl.handle.net/2003/5004
dc.identifier.uri	http://dx.doi.org/10.17877/DE290R-15100
dc.language.iso	en	de
dc.publisher	Universitätsbibliothek Dortmund	de
dc.subject	error correction model	en
dc.subject	fractional cointegration	en
dc.subject	Granger Representation Theorem	en
dc.subject.ddc	310	de
dc.title	Error Correction Models for Fractionally Cointegrated Time Series	en
dc.type	Text	de
dc.type.publicationtype	report	en
dcterms.accessRights	open access
eldorado.dnb.deposit	true

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