Unit Roots and Related Topics
Terence C. Mills · Palgrave Macmillan UK eBooks · 2015
As we have shown in §§3.5–3.12 , the order of integration, d , is a crucial determinant of the properties that a time series exhibits. If we restrict ourselves to the most common values of 0 and 1 for d , so that x t is either I (0) or I (1), then it is useful to bring together the properties of such processes. These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.