Error-Correction Factor Models for High-dimensional Cointegrated Time Series
نویسندگان
چکیده
منابع مشابه
Error correction models for fractionally cointegrated time series
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. JEL Classification Code: C32
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ژورنال
عنوان ژورنال: Statistica Sinica
سال: 2020
ISSN: 1017-0405
DOI: 10.5705/ss.202017.0250