Error Correction Models for Fractionally Cointegrated Time Series
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. Copyright 2004 Blackwell Publishing Ltd.
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Volume (Year): 25 (2004)
Issue (Month): 1 (January)
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