Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/259327 
Authors: 
Year of Publication: 
2002
Series/Report no.: 
Working Paper No. 2002-12
Publisher: 
Bar-Ilan University, Department of Economics, Ramat-Gan
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 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
Subjects: 
Common Stochastic Trend
Cointegration
Frequency Domain Anlysis
Cross-Spectrum
Zero-Frequency
JEL: 
C32
C50
C14
Document Type: 
Working Paper

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