Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/206835
Authors: 
Levy, Daniel
Year of Publication: 
2002
Citation: 
[Journal:] Journal of Time Series Analysis [ISSN:] 1467-9892 [Volume:] 23 [Issue:] 3 [Pages:] 333-339
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(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
Subjects: 
Common Stochastic Trend
Cointegration
Frequency Domain Anlysis
Spectral Analysis
Spectrum
Cross-Spectrum
Zero-Frequency
Short-Run
Long-Run
JEL: 
C01
C18
C22
C32
C40
Published Version’s DOI: 
Document Type: 
Article
Document Version: 
Accepted Manuscript (Postprint)

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