Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
9548630 | Economic Modelling | 2005 | 11 Pages |
Abstract
This paper presents an example of a time series model that is not difference stationary to any order and explores its properties. The process is dubbed I(â). Although taking differences cannot make it stationary, there is a simple method of inducing stationarity. The result indicates that the popular notion of integratedness may be too linear. An extension to possible cointegrating relations among I(â) processes is also discussed.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Gawon Yoon,