Cointegration in frequency domain

Journal of Time Series Analysis

Volumn 23, Issue 3, 2002, Pages 333-339

  Levy, D ^a  

^a EMORY UNIVERSITY   (United States)

Author keywords

Cointegration; Common stochastic trend; Cross spectrum; Frequency domain analysis; Zero frequency

Indexed keywords

EID: 0039488348     PISSN: 01439782     EISSN: None     Source Type: Journal    
DOI: 10.1111/1467-9892.00267     Document Type: Article

References (5)

1. 1 ENGLE, R. E. and GRANGER, C. W. J. (1987) Cointegration and error correction: representation, estimation, and testing. Econometrica 55, 251–76.
2. 2 JENKINS, G. M. and WATTS, D. G. (1968) Spectral Analysis and its Applications. San Francisco: Holden Day.
3. 3 LEVY, D. (2000) Investment saving comovement and capital mobility: evidence from century long U.S. Time series. Review of Economic Dynamics 3, 100–136.
4. 4 PRIESTLEY, M. B. (1981) Spectral Analysis and Time Series. New York: Academic Press.
5. 5 STOCK, J. M. and WATSON, M. W. (1988) Testing for common trends. Journal of American Statistical Association 83, 1097–107.