학술저널
Notes on the Effects of Over-Differencing on the Long-Run Relationship between Two Time Series Processes
- 한국계량경제학회
- JOURNAL OF ECONOMIC THEORY AND ECONOMETRICS
- Vol.36 No.4
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2025.1271 - 81 (11 pages)
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DOI : 10.22812/jetem.2025.36.4.004
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We study asymptotic properties of nonparametric coherence estimator at the zero frequency in the presence of over-differenced time series. It is found that when one series is over-differenced, the coherences at the origin decay to zero, regardless of the bandwidths for kernel estimation. On the other hand, when both series are over-differenced, coherences at the zero frequency grow with the bandwidths, which lead to misleading interpretation of non-existent long-run relationships. Our simulation studies confirm the theoretical conjecture.
1. INTRODUCTION
2. MAIN RESULTS
3. SIMULATION STUDIES
4. CONCLUSION
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