The variance of an integrated process need not diverge to infinity
AbstractFor 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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Bibliographic InfoPaper provided by EconWPA in its series Econometrics with number 9907001.
Length: 11 pages
Date of creation: 05 Jul 1999
Date of revision:
Note: Type of Document - Postscript; prepared on IBM PC/Linux; to print on Postscript; pages: 11; figures: none
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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; Dynamic Treatment Effect Models &bull Diffusion Processes
This paper has been announced in the following NEP Reports:
- NEP-ALL-2001-02-14 (All new papers)
- NEP-ECM-2001-02-14 (Econometrics)
- NEP-ETS-2001-02-14 (Econometric Time Series)
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.:
- Johansen, Soren, 1995. "Likelihood-Based Inference in Cointegrated Vector Autoregressive Models," OUP Catalogue, Oxford University Press, number 9780198774501.
- Dietmar Bauer & Martin Wagner, 2002.
"A Canonical Form for Unit Root Processes in the State Space Framework,"
dp0204, Universitaet Bern, Departement Volkswirtschaft.
- Dietmar Bauer & Martin Wagner, 2003. "A Canonical Form for Unit Root Processes in the State Space Framework," Diskussionsschriften dp0312, Universitaet Bern, Departement Volkswirtschaft.
- Dietmar Bauer & Martin Wagner, 2003. "On Polynomial Cointegration in the State Space Framework," Diskussionsschriften dp0313, Universitaet Bern, Departement Volkswirtschaft.
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