Cointegration in frequency domain

D. Levy
Authors registered in the RePEc Author Service: Daniel Levy () and David M. Levy

Journal of Time Series Analysis, 2002, vol. 23, issue 3, 333-339

Abstract: Existence 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, Xt and Yt, are cointegrated with a cointegrating vector [1 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|.

Date: 2002
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Citations: View citations in EconPapers (11)

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https://doi.org/10.1111/1467-9892.00267

Related works:
Working Paper: Cointegration in Frequency Domain (2004)
Journal Article: Cointegration in Frequency Domain (2002)
Working Paper: Cointegration in Frequency Domain (2002)
Working Paper: Cointegration in frequency domain (2002)
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Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:23:y:2002:i:3:p:333-339

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