Error Correction Models for Fractionally Cointegrated Time Series

Ingolf Dittmann

Journal of Time Series Analysis, 2004, vol. 25, issue 1, 27-32

Abstract: This paper 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.

Date: 2004
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https://doi.org/10.1111/j.1467-9892.2004.00335.x

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