Integrated Processes

Klaus Neusser ()

Chapter 7 in Time Series Econometrics, 2016, pp 133-165 from Springer

Abstract: Abstract Up to now the discussion concentrated on stationary processes and in particular ARMA processes. According to the Wold decomposition theorem (see Theorem 3.1) every purely non-deterministic processes possesses the following representation: X t = μ + Ψ ( L ) Z t , $$\displaystyle{ X_{t} =\mu +\Psi (\mathrm{L})Z_{t}, }$$ where { Z t } ∼ WN ( 0 , σ 2 ) $$\{Z_{t}\} \sim \mathrm{ WN}(0,\sigma ^{2})$$ and ∑ j = 0 ∞ ψ j 2

Keywords: Unit Root; Structural Break; Unit Root Test; Impulse Response Function; Linear Time Trend (search for similar items in EconPapers)
Date: 2016
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DOI: 10.1007/978-3-319-32862-1_7

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