The variance of an integrated process need not diverge to infinity
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.
|Date of creation:||05 Jul 1999|
|Note:||Type of Document - Postscript; prepared on IBM PC/Linux; to print on Postscript; pages: 11; figures: none|
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- Johansen, Soren, 1995. "Likelihood-Based Inference in Cointegrated Vector Autoregressive Models," OUP Catalogue, Oxford University Press, number 9780198774501.