Cointegration in Frequency Domain

Daniel Levy ()

No 2002-12, Working Papers from Bar-Ilan University, Department of Economics

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 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|.

Keywords: Common Stochastic Trend; Cointegration; Frequency Domain Anlysis; Cross-Spectrum; Zero-Frequency. (search for similar items in EconPapers)
JEL-codes: C14 C32 C50 (search for similar items in EconPapers)
Date: 2002-05
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Citations: View citations in EconPapers (14)

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Related works:
Working Paper: Cointegration in Frequency Domain (2004)
Journal Article: Cointegration in frequency domain (2002)
Journal Article: Cointegration in Frequency Domain (2002)
Working Paper: Cointegration in frequency domain (2002)
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