THE VARIANCE OF AN INTEGRATED PROCESS NEED NOT DIVERGE TO INFINITY, AND RELATED RESULTS ON PARTIAL SUMS OF STATIONARY PROCESSES

DOI10.1017/S0266466601174013MaRDI QIDQ4807261zbMATH OpenOpenAlexFDO

Authors Hannes Leeb, Benedikt M. Pötscher

Publication date 18 May 2003

Published in Econometric Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/s0266466601174013

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10) Stochastic processes (60G99)

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(2)

• On unit roots for spatial autoregressive models
• Variance of partial sums of stationary sequences

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