### Abstract

This note provides an example in which a cointegrated time series does not have an error correction representation. In this example, the Granger Representation Theorem fails to hold because one of the conditions for the theorem is violated. Economists need to be careful about this possibility because a simple model of the uncovered interest parity and purchasing power parity conditions leads to this case in which the theorem fails.

Original language | English |
---|---|

Pages (from-to) | 19-21 |

Number of pages | 3 |

Journal | Economics Letters |

Volume | 60 |

Issue number | 1 |

Publication status | Published - 1998 Jul 1 |

Externally published | Yes |

### Fingerprint

### Keywords

- C22
- Cointegration
- Error correction representation

### ASJC Scopus subject areas

- Economics and Econometrics
- Finance

### Cite this

*Economics Letters*,

*60*(1), 19-21.

**On the Granger Representation Theorem : A counter example?** / Ogaki, Masao.

Research output: Contribution to journal › Article

*Economics Letters*, vol. 60, no. 1, pp. 19-21.

}

TY - JOUR

T1 - On the Granger Representation Theorem

T2 - A counter example?

AU - Ogaki, Masao

PY - 1998/7/1

Y1 - 1998/7/1

N2 - This note provides an example in which a cointegrated time series does not have an error correction representation. In this example, the Granger Representation Theorem fails to hold because one of the conditions for the theorem is violated. Economists need to be careful about this possibility because a simple model of the uncovered interest parity and purchasing power parity conditions leads to this case in which the theorem fails.

AB - This note provides an example in which a cointegrated time series does not have an error correction representation. In this example, the Granger Representation Theorem fails to hold because one of the conditions for the theorem is violated. Economists need to be careful about this possibility because a simple model of the uncovered interest parity and purchasing power parity conditions leads to this case in which the theorem fails.

KW - C22

KW - Cointegration

KW - Error correction representation

UR - http://www.scopus.com/inward/record.url?scp=0032220910&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=0032220910&partnerID=8YFLogxK

M3 - Article

AN - SCOPUS:0032220910

VL - 60

SP - 19

EP - 21

JO - Economics Letters

JF - Economics Letters

SN - 0165-1765

IS - 1

ER -