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The Variance Of An Integrated Process Need Not Diverge To Infinity, And Related Results On Partial Sums Of Stationary Processes

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  • Leeb, Hannes
  • Pötscher, Benedikt M.

Abstract

For a process with stationary first differences a necessary and sufficient condition for the variance of the process to be unbounded is given. An example shows that the variance of an integrated process—although unbounded—need not diverge to infinity. Sufficient conditions for the variance of an integrated process to diverge to infinity are provided.

Suggested Citation

  • Leeb, Hannes & Pötscher, Benedikt M., 2001. "The Variance Of An Integrated Process Need Not Diverge To Infinity, And Related Results On Partial Sums Of Stationary Processes," Econometric Theory, Cambridge University Press, vol. 17(4), pages 671-685, August.
    • Handle: RePEc:cup:etheor:v:17:y:2001:i:04:p:671-685_17
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    Cited by:

    1. Paulauskas, Vygantas, 2007. "On unit roots for spatial autoregressive models," Journal of Multivariate Analysis, Elsevier, vol. 98(1), pages 209-226, January.
    2. Dietmar Bauer & Martin Wagner, 2002. "A Canonical Form for Unit Root Processes in the State Space Framework," Diskussionsschriften dp0204, Universitaet Bern, Departement Volkswirtschaft.
    3. Dietmar Bauer & Martin Wagner, 2003. "On Polynomial Cointegration in the State Space Framework," Diskussionsschriften dp0313, Universitaet Bern, Departement Volkswirtschaft.

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