Questions tagged [stationary]

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Covariance stationary solution to the equation

Is there a covariance stationary solution to the equation? $X_t = 4 \varepsilon_{t-1} + \varepsilon_t, \quad \text{where } \{ \varepsilon_t \} \in WN(0, \sigma^2), t \in \mathbb{Z}$. Unfortunately I ...
nodis6's user avatar
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Stationarity in Time Series

Could you illustrate why a random walk process without a constant term exhibits stationarity in its first moment but not in the second?
Dimitru's user avatar
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Running vector autoregressions with non-stationary data

I am reading Diego Kaenzig "The Macroeconomic Effects of Oil Supply News: Evidence from OPEC Announcements". I have a question about the baseline specification and in particular the ...
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Stationarity concerns in typical monetary VAR

In monetary economics, I've seen the following 4-equation VAR with log industrial production, log consumer price index, federal funds rate, excess bond premium (a la Gilchrist and Zakrajšek) what ...
user37250's user avatar
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In Panel Data models, could we apply the existing Unit Root Tests (i.e. IPS) to the residuals in order to test for Cointegration?

The Engle Granger approach suggests that we check the regression residuals stationarity with ADF test and if the residuals are stationary, even if not all other model variables are, we can say there ...
Econom0nster's user avatar
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The difference of a difference for a control variable in a regression?

I am conducting a time series analysis. My dependent variable is income inequality, which has been logged and then differenced. In other words, my Y variable is now the difference in log income ...
Matthew Farquhar's user avatar
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The effect of stationarity of forecasting

If all that matters in forecasting is getting an accurate forecast then why is using non stationary data a problem. Say you use non stationary data to create a forecast that performs well in a pseudo ...
Alex Stephenson's user avatar
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Proof that a Unit Root process is Difference Stationary

Consider $$y_t =a_1 y_{t-1}+a_2 y_{t-2} +...+a_p y_{t-p} +\varepsilon_t $$ The characteristic polynomial would be: $$(1-a_1L -a_2L^2 -...-a_pL^p) $$ Suppose that there is a unit root, say that $L=1$ ...
Michael Gmeiner's user avatar