The variance of an integrated process need not diverge to infinity, and related results on partial sums of stationary processes

Authors
Leeb, H Potscher, BM
Citation
H. Leeb et Bm. Potscher, The variance of an integrated process need not diverge to infinity, and related results on partial sums of stationary processes, ECONOMET TH, 17(4), 2001, pp. 671-685
Citations number
9
Categorie Soggetti
Economics
Journal title
ECONOMETRIC THEORY
ISSN journal
02664666 → ACNP
Volume
17
Issue
4
Year of publication
2001
Pages
671 - 685
Database
ISI
SICI code
0266-4666(200108)17:4<671:TVOAIP>2.0.ZU;2-N
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 exam ple shows that the variance of an integrated process-although unbounded-nee d not diverge to infinity. Sufficient conditions for the variance of an int egrated process to diverge to infinity are provided.