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.

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Year of publication:	1999-07-05
Authors:	Leeb, Hannes ; Poetscher, Benedikt
Institutions:	EconWPA
Subject:	integrated process \| unit root \| difference stationarity \| spectral density \| long-memory \| unbounded variance

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Extent:	application/postscript application/pdf
Series:	Econometrics.
Type of publication:	Book / Working Paper
Notes:	Type of Document - Postscript; prepared on IBM PC/Linux; to print on Postscript; pages: 11; figures: none 11 pages
Classification:	C22 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005407936