Testing for cointegration at any frequency using spectral methods |
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Authors: | Gianluca Cubadda |
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Institution: | 1. Dipartimento di Statistica, Probabilità e Statistiche Applicate, Università ?La Sapienza?, P.le A. Moro 5, Roma, Italy
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Abstract: | Summary In this paper a new simple test for cointegration at any frequency is presented. This method can thus be applied to test for
cointegration both at the zero and at the seasonal frequencies. It requires the estimation of the coherency spectrum of weakly
stationary processes, therefore only standard spectral theory is involved. The testing procedure is similar to the one suggested
by Phillips and Ouliaris (1988) and recently generalized by Joyeux (1992) to frequencies different from zero, but it does
not suffer of some problems connected with the use of principal components methods in the frequency domain.
Invited paper at the Conference held in Bologna, Italy, 27–28 May 1993, on ?Statistical Tests: Methodology and Econometric
Applications?. |
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Keywords: | Cointegration seasonal unit roots bounds tests multivariate frequency-domain analysis |
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