[R-SIG-Finance] [R-sig-finance] What is the order of Integration of following?
ron_michael70 at yahoo.com
Sun Jan 11 08:01:10 CET 2009
Hi, can anyone please tell me what is the order of Integration of following
series : y[t] = 1.1*y[t-1] +epsilon
In naked eye, it looks it is of order 1, because, the coef. is close to 1.
However when I generated the series, it remains non-stationary even after 8
y <- vector(length=1000); y<-100; for (i in 2:1000) y[i] <- 1.1*y[i-1] +
plot(diff(y, differences = 8))
Also interested to know, does anyone face this kind of DGP in his practical
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