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Order of integration


The minimum number of times it is necessary to difference a non-stationary time series to produce a stationary series. A series which has to be differenced n times is integrated of order n, written l(n). The order of integration can be a fraction, in which case the process is said to be fractionally integrated; fractional differencing is a mathematically convenient representation of an infinite series of lags with a specific pattern in lag coefficients. See also covariance stationary process.


Reference: Oxford Press Dictonary of Economics, 5th edt.