Decomposition of feedback between time series in a bivariate error-correction model

Paul Johnson and Jahyeong Koo

No 9712, Working Papers from Federal Reserve Bank of Dallas

Abstract: This paper adapts Geweke's [1982] method of decomposing the feedback between time series by frequency to the case of 1(1) time series generated by a bivariate error-correction model. The method is applied to long-run data on US and UK price levels with the finding that most of the feedback between the two time series occurs at very low frequencies.

Keywords: time series; analysis (search for similar items in EconPapers)
Pages: 19 pages
Date: 1997
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