The order of integration
A)can never be zero.
B)is the number of times that the series needs to be differenced for it to be stationary.
C)is the value of φ1 in the quasi difference(ΔYt - φ1Yt-1).
D)depends on the number of lags in the VAR specification.

Question

Quizplus · Accepted Answer

The order of integration is the number of times that the series needs to be differenced for it to be stationary. It is not zero (A), it is not the value of φ1 in the quasi difference (C), and it is not directly related to the number of lags in the VAR specification (D).

The Order of Integration