Arbeitspapier

Cointegration in Frequency Domain

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|.

Sprache
Englisch

Erschienen in
Series: Working Paper ; No. 2002-12

Klassifikation
Wirtschaft
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Econometric Modeling: General
Semiparametric and Nonparametric Methods: General
Thema
Common Stochastic Trend
Cointegration
Frequency Domain Anlysis
Cross-Spectrum
Zero-Frequency

Ereignis
Geistige Schöpfung
(wer)
Levy, Daniel
Ereignis
Veröffentlichung
(wer)
Bar-Ilan University, Department of Economics
(wo)
Ramat-Gan
(wann)
2002

Handle
Letzte Aktualisierung
10.03.2025, 11:43 MEZ

Datenpartner

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Objekttyp

  • Arbeitspapier

Beteiligte

  • Levy, Daniel
  • Bar-Ilan University, Department of Economics

Entstanden

  • 2002

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