Error correction models for fractionally cointegrated time series

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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Year of publication:	2000
Authors:	Dittmann, Ingolf
Publisher:	Dortmund : Universität Dortmund, Sonderforschungsbereich 475 - Komplexitätsreduktion in Multivariaten Datenstrukturen
Subject:	Theorie \| Fehlerkorrekturmodell \| error correction model \| fractional cointegration \| Granger Representation Theorem

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Series:	Technical Report ; 2000,02
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	767133404 [GVK] hdl:10419/77144 [Handle] RePEc:zbw:sfb475:200002 [RePEc]
Classification:	C32 - Time-Series Models
Source:	EconStor

Persistent link: https://www.econbiz.de/10010316487