Chapter

Properties of Integrated Processes

Anindya Banerjee, Juan J. Dolado, John W. Galbraith and David F. Hendry

in Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data

Published in print May 1993 | ISBN: 9780198288107
Published online November 2003 | e-ISBN: 9780191595899 | DOI: http://dx.doi.org/10.1093/0198288107.003.0003

Series: Advanced Texts in Econometrics

 Properties of Integrated Processes

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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

Chapter.  13018 words.  Illustrated.

Subjects: Econometrics and Mathematical Economics

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