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order of integration


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The minimum number of times it is necessary to difference a non-stationary time series to produce a stationary series. A series which has to be differenced n times is integrated of order n, written I(n). The order of integration can be a fraction, in which case the process is said to be fractionally integrated; fractional differencing is a mathematically convenient representation of an infinite series of lags.

Subjects: Economics.


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