Error Correction Models for Fractionally Cointegrated Time Series

dc.contributor.authorDittmann, Ingolfde
dc.date.accessioned2004-12-06T18:41:41Z
dc.date.available2004-12-06T18:41:41Z
dc.date.issued2000de
dc.description.abstractThis 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.extent381927 bytes
dc.format.extent80776 bytes
dc.format.mimetypeapplication/pdf
dc.format.mimetypeapplication/postscript
dc.identifier.urihttp://hdl.handle.net/2003/5004
dc.identifier.urihttp://dx.doi.org/10.17877/DE290R-15100
dc.language.isoende
dc.publisherUniversitätsbibliothek Dortmundde
dc.subjecterror correction modelen
dc.subjectfractional cointegrationen
dc.subjectGranger Representation Theoremen
dc.subject.ddc310de
dc.titleError Correction Models for Fractionally Cointegrated Time Seriesen
dc.typeTextde
dc.type.publicationtypereporten
dcterms.accessRightsopen access

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