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- W3125128463 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 |b|." @default.
- W3125128463 created "2021-02-01" @default.
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- W3125128463 date "2002-05-01" @default.
- W3125128463 modified "2023-09-27" @default.
- W3125128463 title "Cointegration in Frequency Domain" @default.
- W3125128463 hasPublicationYear "2002" @default.
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