Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/77144 
Year of Publication: 
2000
Series/Report no.: 
Technical Report No. 2000,02
Publisher: 
Universität Dortmund, Sonderforschungsbereich 475 - Komplexitätsreduktion in Multivariaten Datenstrukturen, Dortmund
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.
Subjects: 
error correction model
fractional cointegration
Granger Representation Theorem
JEL: 
C32
Document Type: 
Working Paper

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