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

Published online by Cambridge University Press:  27 July 2001

Hannes Leeb  and
Benedikt M. Pötscher
Hannes Leeb
Affiliation:
University of Vienna
Benedikt M. Pötscher
Affiliation:
University of Vienna
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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.

Type
Research Article
Information
Econometric Theory , Volume 17 , Issue 4 , August 2001 , pp. 671 - 685
Copyright
© 2001 Cambridge University Press

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