Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/77144
Authors: 
Dittmann, Ingolf
Year of Publication: 
2000
Series/Report no.: 
Technical Report, SFB 475: Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund 2000,02
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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