erc/metu
INTERNATIONAL CONFERENCE IN ECONOMICS  IV
September 13-16, 2000, Ankara

Periodogram Based Co-Integration Analysis

David A. Dickey (North Carolina State University, USA)
Yılmaz Akdi (Ankara University)

Abstract

One of the popular topic in econometrics and time series area is the cointegrating relationship among the components of a vector autoregressive time series. The problem became important after the work of Engle and Granger (1987) and has been addressed by many authors: Johansen (1988), Johansen and Juselius (1990), Phillips (1988, 1993), Stock and Watson (1993) among many others. Recently, Phillips (1993) used a frequency domain approach to test for a unit root later he used a spectral regression method to estimate the cointagrating relationship among the components of a multivariate time series. In this study, a similar approah to Phillips's spectral regression method is used based on the periodogram ordinates to estimate the cointegrating coefficients but the regressors are quite different from Phillips (1988). The method improves to ordinary least squares method proposed by Engle and Granger (1987).

Economic Research Center
Middle East Technical University
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