Error Correction Models for Fractionally Cointegrated Time Series
AbstractThis 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. Copyright 2004 Blackwell Publishing Ltd.
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Bibliographic InfoArticle provided by Wiley Blackwell in its journal Journal of Time Series Analysis.
Volume (Year): 25 (2004)
Issue (Month): 1 (01)
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Web page: http://www.blackwellpublishing.com/journal.asp?ref=0143-9782
Other versions of this item:
- Dittmann, Ingolf, 2000. "Error correction models for fractionally cointegrated time series," Technical Reports 2000,02, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
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