This text presents modern developments in time series analysis and focuses on their application to economic problems. The book first introduces the fundamental concept of a stationary time series and the basic properties of covariance, investigating the structure and estimation of...

Existence of a cointegration relationship between two time series in the time domain imposes restrictions on the series zero‐frequency behaviour in terms of their squared coherence, phase and gain, in the frequency domain. I derive these restrictions by studying cross‐spectral properties of...