Error correction models for fractionally integrated processes
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.
|Keywords||Granger representation theorem, error correction model, fractional cointegration|
|Persistent URL||dx.doi.org/10.1111/j.1467-9892.2004.00335.x, hdl.handle.net/1765/11351|
Dittmann, I.. (2004). Error correction models for fractionally integrated processes. Journal of Time Series Analysis, 25(1), 27–32. doi:10.1111/j.1467-9892.2004.00335.x