 Some frequency domain properties of fractionally cointegrated processesApplied Economics Letters, 2004, vol. 11, issue 14, 891-894 Abstract: 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. Date: 2004 Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:taf:apeclt:v:11:y:2004:i:14:p:891-894 Ordering information: This journal article can be ordered from DOI: 10.1080/1350485042000261289 Access Statistics for this article Applied Economics Letters is currently edited by Anita Phillips More articles in Applied Economics Letters from Taylor & Francis Journals |
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