# Questions tagged [stationary]

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### Definition of stationary subgame perfect Nash Equilibrium in a repeated game

Consider a standard $n$-players infinitely-repeated game with pure strategies. Let $\sigma_i$ be the strategy of player $i$. In particular, $\sigma_i$ maps each history $h_t$ to a pure action $a_t$ ...
• 368
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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 ...
• 11
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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?
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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 ...
• 361
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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 ...
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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 ...
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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 $L=1$ ...