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Error correction models for fractionally cointegrated time series

Authors
Publisher
SFB 475, Universität Dortmund Dortmund
Publication Date
Keywords
  • C32
  • Ddc:330
  • Error Correction Model
  • Fractional Cointegration
  • Granger Representation Theorem
  • Theorie
  • Fehlerkorrekturmodell

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 noted before. 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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