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Autor:innen: 
Erscheinungsjahr: 
2002
Schriftenreihe/Nr.: 
Working Paper No. 2002-12
Verlag: 
Bar-Ilan University, Department of Economics, Ramat-Gan
Zusammenfassung: 
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
Schlagwörter: 
Common Stochastic Trend
Cointegration
Frequency Domain Anlysis
Cross-Spectrum
Zero-Frequency
JEL: 
C32
C50
C14
Dokumentart: 
Working Paper

Datei(en):
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