Error correction models for fractionally cointegrated time series

Ingolf Dittmann

No 2000,02, Technical Reports from Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen

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.

Keywords: error correction model; fractional cointegration; Granger Representation Theorem (search for similar items in EconPapers)
JEL-codes: C32 (search for similar items in EconPapers)
Date: 2000
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Citations: View citations in EconPapers (2)

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Related works:
Journal Article: Error Correction Models for Fractionally Cointegrated Time Series (2004)
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:sfb475:200002

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