Properties of Integrated Processes
Properties of Integrated Processes
Presents the important properties of integrated variables and sets out some of the preliminary asymptotic theories essential for the consideration of such processes. It explores the concepts of unit roots, non‐stationarity, orders of integration, and near integration, and demonstrates the use of the theory in understanding the behaviour of least‐squares estimators in spurious regressions and in models involving integrated data. The theoretical analysis is accompanied by evidence from Monte Carlo simulations. Several examples are also provided to illustrate the use of Wiener distribution theory in deriving asymptotic results for such models.
Keywords: asymptotic theory, Monte Carlo simulation, near integration, non‐stationarity, orders of integration, random walks, regression models, spurious regression Wiener distribution theory, unit roots
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