On the Granger Representation Theorem: A counter example?

研究成果: Article査読

4 被引用数 (Scopus)

抄録

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.

本文言語English
ページ(範囲)19-21
ページ数3
ジャーナルEconomics Letters
60
1
DOI
出版ステータスPublished - 1998 7 1
外部発表はい

ASJC Scopus subject areas

  • 財務
  • 経済学、計量経済学

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