Cointegration in Frequency Domain

Artikel

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|.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Journal: Journal of Time Series Analysis ; ISSN: 1467-9892 ; Volume: 23 ; Year: 2002 ; Issue: 3 ; Pages: 333-339 ; Hoboken: Wiley

Classification and Topics

• Classification: Wirtschaft ; Econometrics ; Methodological Issues: General ; Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models ; Econometric and Statistical Methods: Special Topics: General
• Subject: Common Stochastic Trend ; Cointegration ; Frequency Domain Anlysis ; Spectral Analysis ; Spectrum ; Cross-Spectrum ; Zero-Frequency ; Short-Run ; Long-Run

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Levy, Daniel
• Event: Veröffentlichung
• (who): Wiley ; ZBW – Leibniz Information Centre for Economics
• (where): Hoboken
• (when): 2002

Further information

• DOI: https://onlinelibrary.wiley.com/doi/10.1111/1467-9892.00267
• Handle: http://hdl.handle.net/10419/206835
• Last update: 10.03.2025, 11:42 AM CET