An introduction to I(~) processes [An article from: Economic Modelling]

This digital document is a journal article from Economic Modelling, published by Elsevier in 2005. The article is delivered in HTML format and is available in your Amazon.com Media Library immediately after purchase. You can view it with any web browser.

Description:
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(~). 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(~) processes is also discussed.