The variance of an integrated process need not diverge to infinity

Hannes Leeb () and Benedikt Poetscher
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Benedikt Poetscher: Dept. of Statistics, Univ. Vienna
Authors registered in the RePEc Author Service: Benedikt M Pötscher ()

Econometrics from EconWPA

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.

Keywords: integrated process; unit root; difference stationarity; spectral density; long-memory; unbounded variance. (search for similar items in EconPapers)
JEL-codes: C22 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm and nep-ets
Date: Written 1999-07-05
Note: Type of Document - Postscript; prepared on IBM PC/Linux; to print on Postscript; pages: 11; figures: none
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Persistent link: http://EconPapers.repec.org/RePEc:wpa:wuwpem:9907001

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