Dec 13, 2011 · If these population parameters can vary, what are we really estimating by taking an average across time? (Weak) stationarity requires that these population quantities must be …

Stationarity is especially important as many classical econometric theories are derived under the assumptions of stationarity. A strong form of stationarity is when the distribution of a time …

Apr 13, 2022 · My own account of the difference between stationarity and ergodicity is by visualising a longer time series (say 40 years) split into increments (say, quarters). If the series …

Dec 26, 2018 · I have a stationary and a non stationary time series. For estimating a VAR model, both time series should be differenced or only the second?

May 16, 2017 · Stationarity, ACF and PACF Ask Question Asked 8 years, 6 months ago Modified 8 years, 6 months ago

Aug 24, 2010 · Besides taking differences, what are other techniques for making a non-stationary time series, stationary? Ordinarily one refers to a series as "integrated of order p" if it can be …

Mar 9, 2019 · If we consider a moving average process of order 1, is that stationary? Because, although, the mean will remain the same for Yt and Yt+k, the variance and co-variance will …

Jan 3, 2015 · If I have a time series that has got seasonality, does that automatically make the series non stationary? My intuition (probably off) is that it does not. Seasonality means that the …

Aug 19, 2015 · What is the relationship between autocorrelation and non-stationary? Is it true that non-zero autocorrelation $\\implies$ non-stationary, but not vice versa?

Jun 4, 2016 · In practice, how to evaluate whether a AR(P) process is stationary or not? How to determine the order for the AR and MA model?