Stationarity and Invertibility

John D. Levendis
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John D. Levendis: Loyola University New Orleans

Chapter Chapter 4 in Time Series Econometrics, 2023, pp 85-103 from Springer

Abstract: Abstract Most time series methods are only valid if the underlying time series is stationary. A time series is stationary if its mean, variance, and autocovariance do not rely on the particular time period. In this chapter, we derive the conditions under which a process is stationary, and show some implications of this stationarity.

Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sptchp:978-3-031-37310-7_4

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DOI: 10.1007/978-3-031-37310-7_4

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