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The variance of an integrated process need not diverge to infinity

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Author Info
Hannes Leeb (Dept. of Statistics, Univ. Vienna)
Benedikt Poetscher (Dept. of Statistics, Univ. Vienna)

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Abstract

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

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File URL: http://129.3.20.41/eps/em/papers/9907/9907001.ps.gz
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Publisher Info
Paper provided by EconWPA in its series Econometrics with number 9907001.

Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Length: 11 pages
Date of creation: 05 Jul 1999
Date of revision:
Handle: RePEc:wpa:wuwpem:9907001

Note: Type of Document - Postscript; prepared on IBM PC/Linux; to print on Postscript; pages: 11; figures: none
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Web page: http://129.3.20.41

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Related research
Keywords: integrated process; unit root; difference stationarity; spectral density; long-memory; unbounded variance.;

Find related papers by JEL classification:
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions

This paper has been announced in the following NEP Reports:

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)
  1. Dietmar Bauer & Martin Wagner, 2003. "A Canonical Form for Unit Root Processes in the State Space Framework," Diskussionsschriften dp0312, Universitaet Bern, Departement Volkswirtschaft. [Downloadable!]
    Other versions:
  2. Dietmar Bauer & Martin Wagner, 2003. "On Polynomial Cointegration in the State Space Framework," Diskussionsschriften dp0313, Universitaet Bern, Departement Volkswirtschaft. [Downloadable!]
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This page was last updated on 2009-12-16.

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