Glossary of economics research
Results of search for integrated follow:
integrated:
Said in reference to a random process. A random process is said to be
'integrated of order d' (sometimes denoted I(d)) for some natural number d if
the series that would remain after one took first differences d times would be
covariance stationary.
Example: a random walk is I(1).
Example: "Most macroeconomic flows and stocks that relate to population
size, such as output or employment, are I(1)." They are growing.
Example: "An I(2) series [might] be growing at an ever-increasing
rate."
Source: Greene, 1993, p 559
Contexts: econometrics; time series; estimation
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