What is considered as over-differencing?

[Sundus Al Riyami]

Hello,

If my variable is stationary at levels and I take first-difference. Is that considered over-differencing? If so, will it bias my estimates?

[Joro Kolev]

I think the consequences of over-differencing is loss of efficiency and loss of information, but I do not think that it introduces bias.

[Sundus Al Riyami]

Joro Kolev do you have any journals or books that can reference this?

[Joro Kolev]

Plosser, Charles I., and G. William Schwert. "Estimation of a non-invertible moving average process: The case of overdifferencing." Journal of Econometrics 6, no. 2 (1977): 199-224.

Sánchez, Ismael, and Daniel Peña. "Properties of predictors in overdifferenced nearly nonstationary autoregression." Journal of Time Series Analysis 22, no. 1 (2001): 45-66.

Marcet, Albert. "Overdifferencing VAR’s is OK." Manuscript, Universitat Pompeu Fabra (2005).

Joro Kolev do you have any journals or books that can reference this?

[Sundus Al Riyami]

Thank you very much.