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Decomposition of feedback between time series in a bivariate error-correction model

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  • Paul A. Johnson
  • Jahyeong Koo

Abstract

This paper adapts Geweke's [1982] method of decomposing the feedback between time series by frequency to the case of 1(1) time series generated by a bivariate error-correction model. The method is applied to long-run data on US and UK price levels with the finding that most of the feedback between the two time series occurs at very low frequencies.

Suggested Citation

  • Paul A. Johnson & Jahyeong Koo, 1997. "Decomposition of feedback between time series in a bivariate error-correction model," Working Papers 9712, Federal Reserve Bank of Dallas.
    • Handle: RePEc:fip:feddwp:97-12
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    Keywords

    time series; analysis;

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