Some frequency domain properties of fractionally cointegrated processes
The paper shows that the multiple squared coherence at the zero frequency for fractionally differenced (fractionally) cointegrated processes is equal to one, while the simple squared coherences assume a value greater than zero but lower than one. In the bivariate case the multiple and simple squared coherence coincide and, therefore, the simple squared coherence at the zero frequency assumes a unitary value. It is also found that processes that are not fractionally cointegrated show, in general, positive, but lower than one, multiple and simple squared coherences at the zero frequency. In the case the dependent and independent variables are driven by different long memory factors, i.e. in the case when the dependent variable is orthogonal at the zero frequency to any of the regressors, the squared multiple coherence will assume a zero value, as any of the squared simple coherences. It is finally shown that all the above results also hold for the series in levels, as the frequency tends to zero.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 11 (2004)
Issue (Month): 14 ()
|Contact details of provider:|| Web page: http://www.tandfonline.com/RAEL20|
|Order Information:||Web: http://www.tandfonline.com/pricing/journal/RAEL20|
When requesting a correction, please mention this item's handle: RePEc:taf:apeclt:v:11:y:2004:i:14:p:891-894. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Michael McNulty)
If references are entirely missing, you can add them using this form.