THE VARIANCE OF AN INTEGRATED PROCESS NEED NOT DIVERGE TO INFINITY, AND RELATED RESULTS ON PARTIAL SUMS OF STATIONARY PROCESSES

Hannes Leeb and Benedikt M. P tscher

Econometric Theory, 2001, vol. 17, issue 04, pages 671-685

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.

Date: 2001

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