Error Correction Models for Fractionally Cointegrated Time Series

DOI10.1111/J.1467-9892.2004.00335.XMaRDI QIDQ4828168zbMATH OpenOpenAlexFDO

Authors 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)

Recommendations

• scientific article; zbMATH DE number 3872515
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• scientific article; zbMATH DE number 1031883
• Polynomial cointegration. Estimation and test
• Representation of Cointegrated Autoregressive Processes with Application to Fractional Processes

Cites work

• scientific article; zbMATH DE number 3860263 (Why is no real title available?)
• Residual-based tests for factorial cointegration: A Monte Carlo study

Cited in

(10)

• Support for Governments and Leaders: Fractional Cointegration Analysis of Poll Evidence from the UK, 1960-2004
• Modelling systems with a mixture of \(I(d)\) and \(I(0)\) variables using the fractionally co-integrated VAR model
• scientific article; zbMATH DE number 3872515 (Why is no real title available?)
• Representation of Cointegrated Autoregressive Processes with Application to Fractional Processes
• A REPRESENTATION THEORY FOR A CLASS OF VECTOR AUTOREGRESSIVE MODELS FOR FRACTIONAL PROCESSES
• Extended complex error correction models for seasonal cointegration
• Modelling structural breaks, long memory and stock market volatility: an overview
• Bias Correction of Persistence Measures in Fractionally Integrated Models
• First-order bias correction for fractionally integrated time series
• A representation theory for polynomial cofractionality in vector autoregressive models

This page was built for publication: Error Correction Models for Fractionally Cointegrated Time Series

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4828168)