Econometrics II

We have proven that a causal linear process w.r.t. a white noise and a sequence of absolutely summable coefficients is always regular (is it also short memory?). We have been occupied with the issue of strict stationarity of a such a process. We have also provided with two simple short memory examples. Notes for the above can be found here. 

In the framework of stationarity we have (descriptively) been occupied with the notion of the invariant σ-algebra of the process, and examined the notion of ergodicity and Birkhoff's LLN. Notes for the above can be found here.