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|
|Contact details of provider:|| Web page: http://econwpa.repec.org|
References listed on IDEAS
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, April.