On the Granger Representation Theorem: A counter example?

Masao Ogaki

doi:10.1016/s0165-1765(98)00091-3

On the Granger Representation Theorem: A counter example?

Masao Ogaki

Research output: Contribution to journal › Article › peer-review

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 language	English
Pages (from-to)	19-21
Number of pages	3
Journal	Economics Letters
Volume	60
Issue number	1
DOIs	https://doi.org/10.1016/s0165-1765(98)00091-3
Publication status	Published - 1998 Jul 1
Externally published	Yes

Keywords

C22
Cointegration
Error correction representation

ASJC Scopus subject areas

Finance
Economics and Econometrics

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10.1016/s0165-1765(98)00091-3

Cite this

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title = "On the Granger Representation Theorem: A counter example?",

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.",

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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.

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KW - Error correction representation

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On the Granger Representation Theorem: A counter example?

Abstract

Keywords

ASJC Scopus subject areas

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