Error correction models for fractionally cointegrated time series

Ingolf Dittmann

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.

Year of publication:	2000
Authors:	Dittmann, Ingolf
Publisher:	Dortmund : SFB 475, Universität Dortmund
Subject:	error correction model \| fractional cointegration \| Granger Representation Theorem \| Theorie (STW) \| Fehlerkorrekturmodell (STW) \| Theorie \| Theory \| Kointegration \| Cointegration

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