Econometrics II

We examined an example of a Gaussian process, questioning whether or not it is strictly stationary and/or weakly stationary. You can find notes here.

We occupied ourselves with an example of a strictly stationary process which is not ergodic. This example is referred to as Example 4 here.

We further occupied ourselves with an example of a causal linear process w.r.t. a white noise and a sequence of square summable coefficients which is long-memory. You can find notes on the latter here.