Error correction models for fractionally integrated processes
January 2004
Article
volume 25, issue 1 pp 27-32.
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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.
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