Cointegration in Frequency Domain

Daniel Levy ()

EconStor Open Access Articles and Book Chapters, 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, X(t) and Y(t), 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)X(t) and (1 ‐ L)Y(t) will equal one, their phase will equal zero, and their gain will equal |b|.

Keywords: Common Stochastic Trend; Cointegration; Frequency Domain Anlysis; Spectral Analysis; Spectrum; Cross-Spectrum; Zero-Frequency; Short-Run; Long-Run (search for similar items in EconPapers)
JEL-codes: C01 C18 C22 C32 C40 (search for similar items in EconPapers)
Date: 2002
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (11)

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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:zbw:espost:206835

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