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- W2161244552 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 Y, 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) and (1 - L) will equal one, their phase will equal zero, and their gain will equal (b)." @default.
- W2161244552 created "2016-06-24" @default.
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- W2161244552 date "2003-01-01" @default.
- W2161244552 modified "2023-09-23" @default.
- W2161244552 title "Cointegration in Frequency Domain" @default.
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- W2161244552 doi "https://doi.org/10.2139/ssrn.372843" @default.
- W2161244552 hasPublicationYear "2003" @default.
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