MÜller, Ulrich K. - In: Econometric Theory 24 (2008) 03, pp. 616-630
An I(0) process is commonly defined as a process that satisfies a functional central limit theorem, i.e., whose scaled partial sums converge weakly to a Wiener process, and an I(1) process as a process whose first differences are I(0). This paper establishes that with this definition, it is...