Error Correction Models for Fractionally Cointegrated Time Series

DOI10.1111/j.1467-9892.2004.00335.xzbMath1051.62072OpenAlexW3125519274MaRDI QIDQ4828168

Ingolf Dittmann

Publication date: 24 November 2004

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/2003/5004

zbMATH Keywords

error correction modelsGranger representation theoremfractionally cointegrated time series

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (3)

Modelling structural breaks, long memory and stock market volatility: an overview ⋮ A REPRESENTATION THEORY FOR POLYNOMIAL COFRACTIONALITY IN VECTOR AUTOREGRESSIVE MODELS ⋮ A REPRESENTATION THEORY FOR A CLASS OF VECTOR AUTOREGRESSIVE MODELS FOR FRACTIONAL PROCESSES

Cites Work

• Residual-Based Tests For Fractional Cointegration: A Monte Carlo Study
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