Abstract
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 xt is either I(0) or I(1), then it is useful to bring together the properties of such processes.
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© 2015 Terence C. Mills
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Mills, T.C. (2015). Unit Roots and Related Topics. In: Time Series Econometrics. Palgrave Texts in Econometrics. Palgrave Macmillan, London. https://doi.org/10.1057/9781137525338_4
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DOI: https://doi.org/10.1057/9781137525338_4
Publisher Name: Palgrave Macmillan, London
Print ISBN: 978-1-349-57909-9
Online ISBN: 978-1-137-52533-8
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