Error correction models for fractionally cointegrated time series

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. (orig.)Available from TIB Hannover: RR 8460(2000,2) / FIZ - Fachinformationszzentrum Karlsruhe / TIB - Technische InformationsbibliothekSIGLEDEGerman