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

B-Tier
Journal: Econometric Theory
Year: 2001
Volume: 17
Issue: 4
Pages: 671-685

Score contribution per author:

1.005 = (α=2.01 / 2 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

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.

Technical Details

RePEc Handle
repec:cup:etheor:v:17:y:2001:i:04:p:671-685_17
Journal Field
Econometrics
Author Count
2
Added to Database
2026-01-25