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
Institutions:	Institut für Wirtschafts- und Sozialstatistik, Universität Dortmund
Subject:	error correction model \| fractional cointegration \| Granger Representation Theorem

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Extent:	application/pdf
Series:	Technical Reports.
Type of publication:	Book / Working Paper
Notes:	Number 2000,02
Classification:	C32 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010955386