On the Granger Representation Theorem: A counter example?

Research output: Contribution to journalArticle

4 Citations (Scopus)

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 languageEnglish
Pages (from-to)19-21
Number of pages3
JournalEconomics Letters
Volume60
Issue number1
DOIs
Publication statusPublished - 1998 Jul 1

Keywords

  • C22
  • Cointegration
  • Error correction representation

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics

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