No results found.(refine search)
Decomposition of feedback between time series in a bivariate error-correction model
This paper adapts Geweke's  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.