Cointegration in Frequency Domain
AbstractExistence of a cointegration relationship between two time series in the time domain imposes restrictions on the series zero-frequency behaviour in terms of their squared coherence, phase, and gain, in the frequency domain. I derive these restrictions by studying cross-spectral properties of a cointegrated bivariate system. Specifically, I demonstrate that if two difference stationary series, X and Yt- b] and thus share a common stochastic trend, then at the zero frequency, the squared coherence of (1 - L) Xt and (1 - L) Yt will equal one, their phase will equal zero, and their gain will equal |b|.
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Bibliographic InfoPaper provided by Department of Economics, Bar-Ilan University in its series Working Papers with number 2002-12.
Date of creation: May 2002
Date of revision:
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Postal: Faculty of Social Sciences, Bar Ilan University 52900 Ramat-Gan
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More information through EDIRC
Common Stochastic Trend; Cointegration; Frequency Domain Anlysis; Cross-Spectrum; Zero-Frequency.;
Other versions of this item:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
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